Estimate potential returns from delta-neutral crypto strategies
Every 8 Hours (Standard)
Every 1 Hour
Every 4 Hours
* Fee is applied to 4 legs (Open/Close Spot, Open/Close Perp).
Gross Funding Income:0.00 USDT
Total Exchange Fees:0.00 USDT
Net Profit / Loss:0.00 USDT
Annualized Return (APR):0.00%
Daily ROI:0.00%
Understanding Funding Rate Arbitrage
Funding Rate Arbitrage (often called the "Cash and Carry" trade) is a market-neutral cryptocurrency trading strategy designed to harvest the funding fees paid by perpetual futures traders. Unlike traditional speculation where you bet on price direction, this strategy aims to profit regardless of whether the market goes up or down.
The Core Concept: You buy the spot asset (e.g., BTC) and simultaneously short the perpetual futures contract (e.g., BTC-PERP) with the same position size. This makes you "Delta Neutral"—immune to price movements.
How It Works
Perpetual futures contracts have a mechanism called the "Funding Rate" to keep the futures price close to the spot price. When the market is bullish, the funding rate is usually positive, meaning traders with Long positions pay traders with Short positions. By holding a Short position in the perpetuals market while holding the underlying asset in Spot, you collect these payments.
Key Metrics in this Calculator
Position Size: The total face value of your position. In a 1x leverage setup, this is your total capital invested.
Funding Rate: The percentage paid between longs and shorts. This typically resets every 8 hours on major exchanges like Binance or Bybit.
Exchange Fee: The cost to execute trades. Since this strategy involves opening a Spot buy, opening a Perp short, and eventually closing both, execution fees are a significant factor. This calculator assumes fees are paid on all 4 legs of the trade.
APR (Annual Percentage Rate): The extrapolated return if the current funding rate were to persist for a year, adjusted for fees.
Why Use a Calculator?
While the funding rate might look like "free money," transaction costs can eat into profits, especially for short holding periods. A funding rate of 0.01% every 8 hours yields roughly 10.95% APR, but if your exchange fees are 0.1% per trade, you might need to hold the position for weeks just to break even on fees. This tool helps you determine the minimum duration required to be profitable.
Risks to Consider
Although this is considered a low-risk strategy, it is not risk-free. Be aware of:
Liquidation Risk: Even with a hedge, a sudden price spike could liquidate your short position if you do not manage margin balances correctly.
Variable Rates: Funding rates change constantly. A positive rate can turn negative, forcing you to pay fees instead of receiving them.
Execution Slippage: The difference in price between executing your spot buy and perp short can impact initial entry costs.
function calculateArbitrage() {
// Get Inputs
var positionSize = parseFloat(document.getElementById('positionSize').value);
var fundingRate = parseFloat(document.getElementById('fundingRate').value);
var fundingInterval = parseFloat(document.getElementById('fundingInterval').value);
var duration = parseFloat(document.getElementById('duration').value);
var feeRate = parseFloat(document.getElementById('exchangeFee').value);
// Validation
if (isNaN(positionSize) || isNaN(fundingRate) || isNaN(duration) || isNaN(feeRate)) {
alert("Please enter valid numbers for all fields.");
return;
}
// 1. Calculate Funding Income
// Payments per day = 24 / interval
var paymentsPerDay = 24 / fundingInterval;
var totalPayments = paymentsPerDay * duration;
// Gross Income = Position * (FundingRate / 100) * TotalPayments
var grossIncome = positionSize * (fundingRate / 100) * totalPayments;
// 2. Calculate Fees
// Strategy requires 4 trades: Open Spot, Open Short, Close Spot, Close Short
// We assume the position size is the same for all legs (Delta Neutral)
// Total Volume = PositionSize * 4
var totalVolume = positionSize * 4;
var totalFees = totalVolume * (feeRate / 100);
// 3. Net Profit
var netProfit = grossIncome – totalFees;
// 4. ROI and APR
// ROI over the specific duration
var roi = (netProfit / positionSize) * 100;
// Daily ROI (pure funding without fees for metric)
var dailyFundingRoi = (fundingRate * paymentsPerDay);
// APR (Annualized) based on the Net Profit (which includes fee deduction)
// APR = (NetProfit / PositionSize) * (365 / Duration) * 100
var apr = (netProfit / positionSize) * (365 / duration) * 100;
// Display Results
document.getElementById('resultsArea').style.display = 'block';
document.getElementById('grossIncome').innerText = grossIncome.toFixed(2) + " USDT";
document.getElementById('totalFees').innerText = totalFees.toFixed(2) + " USDT";
var netElem = document.getElementById('netProfit');
netElem.innerText = netProfit.toFixed(2) + " USDT";
if (netProfit >= 0) {
netElem.className = "result-value positive-green";
} else {
netElem.className = "result-value negative-red";
}
document.getElementById('aprResult').innerText = apr.toFixed(2) + "%";
// Show daily yield from funding only (excluding fees) to show potential
document.getElementById('dailyRoi').innerText = dailyFundingRoi.toFixed(4) + "%";
}