Nitro Spreads Table View Glossary

Strategy formulas for both crypto-margined and USDT-margined contracts

Funding Rate Arb

1. Crypto-M and USDT-M

   • Formula

     • APR = (P3D perpetual funding / 3) × 365

   • Explanation

     • P3D perpetual funding refers to the previous 3-day historical perpetual funding rate.

     • This formula annualizes the previous 3-day historical perpetual funding rate to provide a comparable APR value.

     • For Crypto-M contracts, the perpetual funding rate will be based on Crypto-M perpetual contracts while USDT-M will be based on USDT-M perpetual contracts.

   Key points

   • The strategy evaluates the perpetual funding rate independently, which avoids assumptions about the trader’s leverage or account balance.

Carry Trade

1. Crypto-M

   • Formulas

     • Spread rate = |Futures - USD.Index| / USD.Index

     • APR = (Spread rate / Days to expiry) × 365

   • Explanation

     • The spread rate measures the basis between the futures contract mark price and the relevant crypto’s USD index price.

     • APR is then calculated by annualizing this spread rate over the number of days to expiry.

2. USDT-M

   • Formulas

     • Spread rate = |Futures - Spot| / Spot

     • APR = (Spread rate / Days to expiry) × 365

   • Explanation

     • The spread rate measures the basis between the futures contract mark price and the spot mark price.

     • Similar to Crypto-M, APR is calculated by annualizing this spread rate over the number of days to expiry.

Key points

• This strategy normalizes APR calculations, making it easier to compare returns across different types of instruments.

Futures Spread

1. Crypto-M and USDT-M

   • Formulas

     • Spread rate = |Mark price of leg 1 - Mark price of leg 2| / min(Mark price of leg 1, Mark price of leg 2)

     • APR = (Spread rate / Days between leg 1 and leg 2) × 365

   • Explanation

     • The spread rate measures the basis between two futures contracts by taking the absolute value of the difference in their mark prices and dividing it by the smaller of the two mark prices.

     • APR is calculated by annualizing this spread rate over the number of days between the expiration dates of the two future contracts.

   Key points

   • This approach ensures the APR calculation reflects the true basis between the two futures contracts.

Perp Basis

1. Crypto-M and USDT-M

   • Formulas

     • Spread rate = |Futures - Perpetual| / Perpetual

     • APR = (Spread rate / Days to expiry) × 365

   • Explanation

     • The spread rate measures the basis between the futures contract mark price and the perpetual contract mark price.

     • APR is calculated by annualizing this spread rate over the number of days to expiry.

   Key Points:

   • This strategy is similar to Carry Trade but uses the perpetual instrument instead of spot.

These strategies and formulas are provided for informational purposes only and not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, whether express or implied.

The cryptocurrency markets are highly volatile and subject to market risks. The formulas, strategies, opinions, and analyses included in this report are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on the formulas for the purpose of making investment decisions is at your own risk.

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