Forward price and basis

Spot, forward and the gap between them

Spot is the price for buying BTC now. A forward (or a dated future) fixes today the price for buying it at a later date. The difference is the basis:

basis = forward / spot − 1

In crypto the forward usually sits above spot, a market in contango: buyers who want exposure without paying for the coin now pay a premium for the delay, and holders of the coin earn it by selling the future against their spot (a cash-and-carry trade). When demand for leverage collapses, the basis shrinks and can turn negative, backwardation.

Annualizing

A basis is a return over the time left, so it has to be annualized before expiries can be compared. BOSS uses simple annualization:

annualized basis = basis × 365 / days to expiry

With spot at $100,000:

• a 30-day forward at $100,400 has a basis of 0.40%, or 0.40% × 365 / 30 ≈ 4.9% a year;
• a 90-day forward at $101,500 has a basis of 1.50%, or ≈ 6.1% a year;
• a 2-day forward at $100,050 has a basis of 0.05%, which would annualize to 9.1%, but $50 is the kind of difference a single tick moves. BOSS annualizes the basis only from 7 days to expiry; below that it shows the raw basis alone.

Read together, the annualized basis per expiry is a curve of crypto interest rates, often well above dollar rates in bullish periods.

Perpetuals and dated futures

A perpetual future never expires. Instead of converging to spot at a date, it is held near spot by a funding rate paid between longs and shorts every few hours. A funding rate of 0.01% every 8 hours is about 0.01% × 3 × 365 ≈ 11% a year. Funding is a floating rate, reset all the time; the basis of a dated future is locked in until its expiry. The two usually move together, because traders arbitrage one against the other.

Why options are priced off the forward

A call on BTC expiring in 30 days pays on the settlement price at that date, not on today's spot. Its hedge is a position in the underlying for that same date: a future, or a perpetual, not borrowed coins. So the fair price of the option is set against the forward for its expiry. Put-call parity says it outright: call minus put equals forward minus strike.

That is why every option quote on Deribit, OKX and Bybit carries its expiry's forward (where no future expires that day, the venue derives a synthetic forward from the options themselves), and why BOSS measures moneyness, ATM strikes, payoffs and model prices against that forward, not spot. A $100,000 call with spot at $100,000 is slightly in the money if the forward is $100,400.

The same carry is what a box spread locks in, and what a synthetic long pays for: long call plus short put is a long forward, struck at K instead of at F.