Reading Basis Metrics

FYOS presents basis opportunities with multiple metrics. Understanding what each metric represents — and what it does not — is essential for correct interpretation.

Primary Return Metric

model_adjusted_basis_apr

Status: Primary execution-aware metric

What it represents:

The annualized basis return after accounting for:

• Round-trip trading fees (both legs, entry and exit)
• Slippage costs from crossing spreads
• Trust-based haircuts (inverse contracts, low-confidence mappings)

Interpret as:

"The conservative expected annualized return from this basis trade"

Do not interpret as:

• Guaranteed realized return
• Risk-free yield
• Gross visible spread

gross_basis_apr

Status: Diagnostic metric

What it represents:

The raw annualized basis spread before any execution adjustments.

Interpret as:

"The theoretical maximum return if execution were free"

Do not interpret as:

• Realistic deployable return
• Primary decision metric

Why it exists:

Gross basis shows the underlying opportunity size before costs. The gap between gross and adjusted shows how much execution reality matters.

Spread Metrics

basis_percent

The percentage spread between spot and futures:

basis_percent = (futures_mid - spot_mid) / spot_mid × 100

Positive values indicate contango (futures above spot).

basis_absolute

The absolute price difference in quote currency.

Capacity Metrics

dual_leg_capacity_usd

Status: Primary capacity metric

What it represents:

The maximum USD-equivalent position size achievable given constraints on both legs.

Interpret as:

"The largest position you can realistically deploy on this opportunity"

Key rule:

Basis is a dual-leg trade. Both spot and futures legs must have capacity. The limiting leg constrains the whole trade.

limiting_leg

Which leg constrains capacity:

• spot: Spot market capacity is tighter
• futures: Futures market capacity is tighter

capacity_confidence

How confident FYOS is in the capacity estimate:

• high: Strong evidence
• medium: Moderate evidence
• low: Weak or estimated evidence

Trust Metrics

trust_quality

Overall trust qualification:

coverage_grade

Data coverage quality:

• full: Complete market data coverage
• partial: Some data gaps
• minimal: Significant gaps
• insufficient: Not enough data

source_authority

Data source reliability:

• primary: Direct exchange data
• mixed_primary_bounded: Mix of primary and bounded sources
• fallback_light: Light fallback usage
• fallback_heavy: Heavy reliance on fallbacks

validation_status

Current validation state:

• validated: Passed all checks
• pending: Awaiting validation
• failed: Did not pass validation

Contract Metrics

is_inverse

Whether this is an inverse (coin-margined) contract.

Inverse contracts have non-linear P&L characteristics. FYOS applies additional haircuts to inverse opportunities.

is_linear

Whether this is a linear (stablecoin-margined) contract.

Linear contracts are more straightforward to interpret.

days_to_expiry

Days until contract settlement.

Shorter expiries have higher annualized APR for the same basis spread, but leave less room for error.

expiry_bucket

Categorization of expiry timeframe:

• short: Near-term expiry
• medium: Medium-term expiry
• long: Long-dated expiry

Metric Hierarchy

When interpreting basis opportunities:

Common Misinterpretations

Wrong: "Gross basis APR is what I'll earn."

Right: "Gross basis shows the opportunity; model-adjusted shows the realistic capture."

Wrong: "High APR means high priority."

Right: "APR is one factor. Capacity and trust also gate usability."

Wrong: "Trust qualification is optional."

Right: "Trust gating protects you from unreliable opportunities."