Funding Arbitrage Calculator
Long one exchange, short another at the same time, collect the funding spread. This calculator turns a quoted spread into an honest annualized number · net of taker fees on both legs, rebalancing, and a slippage buffer. Pair this with our live funding arb screener to find current opportunities.
Inputs
Results
How the math works
- Income / interval = spread_pct × capital. Funding settles every 8 h.
- Intervals / year = 3 × 365 = 1095.
- Gross annual = income_per_interval × 1095.
- Fee cost / rebalance = 2 × (taker_long + taker_short) × capital.
- Annual rebalance cost = fee_per_rebalance × rebalances_per_year.
- Slippage buffer subtracted as flat bps × capital × rebalances.
- Net APR = gross_annual − fee_annual − slippage_annual, expressed as % of capital.
Rule of thumb: if netAPR < 10%, the trade is barely worth the operational complexity. 10-30% is a normal sustainable carry. > 50% usually means the spread is about to flip or one side is going to blow up.
Questions
What does the funding arbitrage calculator compute?
It converts a quoted funding spread into a net annualized return, subtracting taker fees on both legs, rebalancing costs, and a slippage buffer.
How often does funding settle?
Most perpetual futures settle funding every 8 hours, which is 1095 intervals per year. The calculator annualizes income with that cadence.
What net APR makes a funding arb worth taking?
As a rule of thumb, below 10% net APR the trade is barely worth the operational complexity, 10-30% is a normal sustainable carry, and above 50% usually means the spread is about to flip.
Related
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