Definition

The Basis Analysis involves calculating the difference between spot prices and underlying futures prices using quote data. This difference is converted into percentage terms and annualized to provide insights into the basis over time. Amberdata has two distinct endpoints for this data; Constant Maturity and Live Term Structure.

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Details

Using the "APR Basis Constant Maturities" endpoint, users can calculate the basis by analyzing the difference between spot prices and futures prices, converting this into percentage terms, and annualizing it. This endpoint focuses on constant maturity basis calculations by interpolating between expirations around a target "days-to-expiration" (DTE). For example, if the target DTE is 90 days, the basis is determined by identifying nearby expiration points, such as 70-day and 123-day, and linearly interpolating to estimate the 90-day basis. This approach helps users understand the cost of carry over fixed time horizons.

The "APR Basis Live Term Structures" endpoint provides real-time analysis of the basis by continuously updating the difference between spot and futures prices. This live data allows users to assess the current market conditions and basis fluctuations as they happen, offering a dynamic view of the pricing structure. This real-time perspective is crucial for traders looking to make timely decisions based on the latest market information.

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Availability

/Apr-Basis Constant Maturity

/Apr-Basis Live Term Structure

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Frequently Asked Questions

How do these endpoints help traders understand futures pricing?

• These endpoints provide valuable insights into futures pricing. The APR-Basis Constant Maturity endpoint shows how the basis changes for a fixed time period, making it easier to compare different contracts. The APR-Basis Live Term Structure endpoint offers real-time updates on the basis, helping traders see current market conditions. Together, they help traders analyze and compare futures prices effectively.