Aggregated Futures Basis

29 giu 2021

CONCEPT

An indicator that shows you the futures basis, which is the premium that classic futures contracts are trading at compared to the spot market.
By default its settings are for bitcoin quarterly contracts (closest expiration date), although there's a lot of customizing possible.
You could also use this indicator for other coins but then you'll have to change the inputs.

I'll manually update the contracts when they get close to expiration, but you could do this yourself as well (just in case I disappear for some reason and don't update it anymore).

For more info on what the futures basis is exactly check out this short educational post (click chart):

FEATURES

As previously mentioned, the default settings are for bitcoin.
The index used is the Bitmex BXBT index. It's a dynamic and volume weighted spot index which is perfect to get an average price of the spot market.
If you want to look at the ethereum futures basis for example then I suggest using the BETH Bitmex index, same concept as the BXBT chart but for ETH.



The futures used are quarterly contracts of the most prominent exchanges in crypto.
There's also an option to add an average plot (or only show the average: use the selection box) which calculates the average premium of all the futures contracts selected (you can also choose to exclude certain contracts).



The standard settings show you the premium in percentage terms, but there's also an options to show the annualized premium.
If I don't update the indicator when the contracts expire you'll have to fill in the tickers of the next quarterlies and you'll also have to change the expiration date to make sure this annualized premium still works.



There's a "zero line" you can add which is useful for when the futures get close to backwardation.
And you can set up bullish and bearish signals of your choosing. By default it shows a bull signal when the premium goes below zero and a bear signal when the premium goes above 10 (if you put it on annualized you'll want to change this threshold).


TRADING

The futures basis can be very useful to gauge market sentiment.
It can give you a better idea of how aggressive market participants are by looking at how much the futures are going up or down relatively to spot.

Divergences also often have an impact.



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

25 lug 2021

Note di rilascio

• Added Bybit futures contract.
  
• Changed display mode to a percentage.
  

16 set 2021

Note di rilascio

Changed the default index to the Coinbase BTC/USD market because the BXBT spot index which I previously used sometimes had issues with the data feed which messed up the data. But you can still change this yourself if you want to.

I got rid of the annualized percent calculation because no one cares about that anyway and it's a pain in the ass to update every time.

Most importantly I updated all the default futures contracts to December, the next quarterly expiration because September is almost over and we're not going to see any interesting changes anymore in the September futs basis.

12 gen 2022

Note di rilascio

Sorry I promised to update the futures tickers, but I'm a bit late.

The indicator still worked though, you can always change the tickers in the settings yourself.
Anyway, the default futures are now March 2022 which is the first upcoming quarterly expiration which I'm personally also looking at.

I also changed some of the titles in the settings a bit. Small change.

4 apr 2022

Note di rilascio

Updated so it uses the next quarterly futures (June).

8 giu 2022

Note di rilascio

Updated the tickers.
June futures are close to expiring, they don't show any useful info anymore.
Default futures are now the next quarterlies which are for September.

I also changed the default bitcoin spot index.
It used to only look at Coinbase, but the default index is now an average price of Coinbase(USD), Bitstamp(USD), Binance(USDT) and FTX(USDT).
You can still change this in the settings if you want, just like you can still change the futures tickers.
Everything is customizable, but I update everything manually as well because I know that most of you like that.

10 set 2022

Note di rilascio

Updated the futures to the next quarterlies (December).
Also removed the "signals" to make the indi more efficient, hope you don't mind.

14 nov 2022

Note di rilascio

FTX shut down so I removed FTX data.

22 gen 2023

Note di rilascio

Updated with the new contracts.

18 feb 2023

Note di rilascio

Small change to the spot index so that it more accurately reflects the index that the exchanges use.

9 mar 2023

Note di rilascio

OKX changed their tickers, so I updated it.

9 mar 2023

Note di rilascio

I had accidently picked the wrong ticker. Now it's 100% correct.

7 apr 2023

Note di rilascio

I don't think anyone wants to manually adjust the tickers so I made everything automatic.
I'll just manually update the contracts ever quarter for you.

You also can simply select BTC or ETH in the settings.

8 lug 2023

Note di rilascio

Updated the new contracts.

5 ott 2023

Note di rilascio

Updated the contracts.

5 dic 2023

Note di rilascio

I've added the option to annualize the data.

9 gen

Note di rilascio

Updated the contracts.

1 apr

Note di rilascio

I've updated the contracts.

3 giu

Note di rilascio

There was a glitch with the annualisation, and people don't really use that feature anyway it seems so I removed it to prevent the indicator from bugging out. The indicator should load a little faster now too.

9 ago

Note di rilascio

Updated contracts.

18 ott

Note di rilascio

Updated the contracts.