Funding-rate arbitrage calculator
A delta-neutral funding trade shorts the leg with the higher annualised funding rate and goes long the lower one. This calculator normalises different settlement intervals, sizes both legs equally, then deducts entry and exit fees on both venues to show the net result rather than an untradeable headline spread.
Assumes equal notional on both legs and unchanged funding rates throughout the holding period. It excludes price-basis divergence, slippage, borrow costs, transfer costs, liquidation risk and any margin imbalance between venues.
Net after trading fees
- Notional per leg
- 10,000.00 USDT
- Gross spread APR
- 16.43%
- Round-trip fee per leg
- 10.00 USDT
- Four-fill fees
- 20.00 USDT
- Fee break-even
- 14 settlement cycles
| Leg | Action | Funding rate | Interval | Leg APR |
|---|---|---|---|---|
| A | Short | 0.0100% | 8h | 10.95% |
| B | Long | -0.0050% | 8h | -5.48% |
Positive funding is paid by longs to shorts; negative funding is paid by shorts to longs. The calculator therefore shorts the higher annualised leg and goes long the lower one, even when one or both rates are negative.
| Result | Profit | Return | Annualised |
|---|---|---|---|
| Gross funding carry | 135.00 USDT | 1.35% | 16.43% |
| Net after trading fees | 115.00 USDT | 1.15% | 13.99% |
Frequently asked
These answers help decide whether the displayed annualised spread and net return are executable, and why a two-leg neutral trade still carries risk.
Why are there four fee charges?
A two-leg trade opens and later closes one position on each venue: two fills per leg and four fills in total. Quoting only the entry fees materially overstates short-horizon carry.
How are different settlement intervals compared?
Each per-settlement rate is annualised with its own interval first. A 0.01% rate every four hours is therefore worth twice the annual carry of the same rate every eight hours.
Is a positive net estimate risk-free?
No. Funding can change before the next settlement, the two contract prices can diverge, and either leg can be liquidated. The estimate isolates carry and explicit trading fees; it is not a guaranteed return.
Why can the current funding spread disappear or reverse quickly?
Funding reflects the perpetual contract's premium to spot and how crowded each side of the market is. Arbitrage capital entering, a market reversal or a venue updating its predicted rate can all change the next settlement. The page holds both input rates constant, so it is best used for threshold and sensitivity analysis; live execution requires checking both predicted rates again before every settlement.
How does higher leverage change the return and risk?
The model splits total capital equally, so each leg's notional is total capital multiplied by leverage and divided by two. More leverage scales both funding income and all four trading fees, while reducing the price divergence each leg can absorb. A higher net APR does not automatically improve risk-adjusted return because liquidation, slippage and cross-venue margin imbalance are outside the estimate.