PARTIAL · capacity-capped
Hypothesis
Dated quarterly futures trade at a basis to spot that decays to zero at expiry; a calendar (long spot / short quarterly) harvests the roll-down.
Math
Annualized basis from time-to-expiry $\tau$:
$$ \text{basis}_{\text{ann}} = \Big(\frac{F_\tau}{S}-1\Big)\cdot\frac{365}{\tau_{\text{days}}} $$
Method
Long spot / short quarterly when annualized basis exceeds a threshold, hold toward expiry, roll. Real fees + collateral cost.
Results
| Contango basis (bull regimes) | +5–25% ann |
| Backwardation (bear) | flips negative |
| Net, hedged | positive in contango only |
A real carry in contango regimes (sister trade to funding carry N-028), but it inverts in backwardation and is capacity- and collateral-capped. Runs only when the term structure pays, fully hedged. Not directional.
Basis carry pays you to be patient in contango and punishes you in backwardation. The trade is the regime filter, not the position.