truenomic

Futures Annualized Rolling Basis

What is Annualised Rolling Basis?

Basis

In futures trading, the basis is the relative difference between the price of the future contract and the spot price.


This quantity is usually presented as an absolute price difference, but in its relative form can be annualised by dividing by the time to expiry τ of the contract expressed in years:


Rolling Basis

Let us consider a hypothetical contract starting today with a given tenor of 1 month (1M) or 3 months ( 3M ). Such a contract does not necessarily trade in the market and thus has no observable price to calculate the basis. The rolling basis is the basis between this ’bespoke’ contract and the spot.

This quantity is inferred from existing contracts’ basis and the calculation is accomplished in two steps:

1. Forward yield

First, we select two futures contracts with expiries T1 and T2 surrounding the hypothetical contract’s expiry Ttarget (T1 ≤ Ttarget ≤ T2). The forward yield is calculated as:


Where:

  • Ti: time to maturity for contract i
  • BASISi: annualised basis for contract i

2. Weighted Basis Average

The rolling basis is calculated as a weighted average between the first contract’s basis and the forward yield:


The description of the indicator was copied from another source, but fully corresponds to this indicator.
Release Notes: UPD of futures
Release Notes: Updated futures and some calculations
Release Notes: Update
Invite-only script

Access to this script is restricted to users authorized by the author and usually requires payment. You can add it to your favorites, but you will only be able to use it after requesting permission and obtaining it from its author. Contact truenomic for more information, or follow the author's instructions below.

TradingView does not suggest paying for a script and using it until you 100% trust its author and understand how the script works. In many cases you can find a good open-source alternative for free in our Public Library.

Author's instructions

To get access to the indicator, you should contact me in a Direct Message!

Want to use this script on a chart?

Warning: please read before requesting access.

Send me a private message for access to my invite only indicators.

More info here: https://byzantium.store/

Comments

do you still offer this indicator ?
+1 Reply
truenomic proggrezive
@proggrezive, yes, DM me
Reply
Hi do you offer this indicator for purchase?
Reply
truenomic Donisio
@Donisio, yes, DM me
Reply
..
Reply