Binance Futures Basis

3 thg 7, 2021

CONCEPT

The futures basis for multiple coins based on the Binance coin margin quarterly futures contracts.

If you need a run down of what the futures basis is, check out this short educational post (click on the chart):

In short: the futures basis is the premium at which futures contracts are trading compared to the spot market.


FEATURES

Futures basis for the following coins:

• BTC
  
• ETH
  
• LTC
  
• BNB
  
• ADA
  
• DOT
  
• BCH
  
• LINK
  

There's also an average futures basis which is an average premium of all the coins I just listed.


As you can see there's also a zero line which you can turn on in the settings.
This is quite useful for when the futures start trading in or close to backwardation.

It's possible to show all the premiums at the same time.
This makes it easy to look for outliers.


You can choose the candle source too.
By default it's set on "close" which probably makes the most sense.
All data will be based on candle closes.

However if you're looking at higher timeframes sometimes crucial info is lost when you keep it on "close".
As you can see in this BTC futures basis example with "close" as a candle source you don't seen anything peculiar even though there were two violent liquidation cascades that temporarily had a huge impact on the futures basis.


If you then select "ohlc4" for example which uses an average value of each candle you can clearly see the impact that those drops had.


Basically when you're looking at most recent data I prefer candle close, but when looking at higher timeframes for historic data the ohlc4 option is more useful.

At the time of publishing this indicator it's using the September quarterly futures contracts (which is the closest expiration).
I'll update this every time the expiration happens.
However, in the settings you'll find the code for these futures contracts.
If you want to take a look at the next expiration for example, which is December right now, you can just fill in the Binance code of those contracts and it'll re-calculate everything and print the futures basis for the December futures.
This way you can also update the indicator yourself each time contracts expire (to make sure the indicator keeps working just in case I were to disappear or something).
The code for the current (September) contracts is U2021.
The code for the next expiration (December) is Z2021.
This will become out dated of course.


TRADING

You can find more info on how it's useful for trading in the educational post I linked.

Some short notes...
This premium works very similar to the perpetuals basis or funding.

Simply put a high premium could be a sign that the market is overbought and a very low premium could be a sign that the market is oversold.
Backwardation (below 0) is very rare and usually only happens after a violent crash. Historically those are good buying opportunities.

Divergences also often work really well.


If you want access send me a private message so we can discuss it.
Cheers.

16 thg 9, 2021

Phát hành các Ghi chú

Updated the futures contracts to the December quarterly expiration.

15 thg 12, 2021

Phát hành các Ghi chú

Updated default contract to March 2022 expiration because the current one (December) is almost over and the basis is therefore (decay) pretty much gone.

4 thg 4, 2022

Phát hành các Ghi chú

Updated so it uses the next quarterly futures (June) since the March futures expired.
Sorry for being a bit late.

21 thg 6, 2022

Phát hành các Ghi chú

Updated to the September quarterly futures contracts.

22 thg 1, 2023

Phát hành các Ghi chú

Updated to the new contracts.

22 thg 3, 2023

Phát hành các Ghi chú

The Tradingview spot indices I used for calculations started acting funky so I replaced them with more accurate indices.