Reading Basis Surfaces

FYOS presents basis opportunities through multiple product surfaces. Each serves a different purpose.

Basis Screener

The Basis Screener displays all qualifying basis opportunities in a table view.

What You See

• Exchange + Symbol: The futures contract identity
• Underlying: The base asset (BTC, ETH, etc.)
• Expiry: Days to contract settlement
• Model-Adjusted APR: Primary return metric
• Capacity: Deployable position size
• Trust Badges: Data quality indicators

Filtering

The screener supports filters for:

• Exchange selection
• Minimum APR threshold
• Expiry bucket (short/medium/long)
• Contract type (linear/inverse)
• Trust quality level

Sorting

Default sort is by model_adjusted_basis_apr descending.

You may also sort by capacity, expiry, or other metrics.

Trust-Gated Display

By default, the screener excludes rows with excluded trust status. You can toggle this filter to see all computed opportunities.

Fee-Tier Overlay

The screener can apply a user-selected fee tier to show personalized effective APR. This affects display economics but does not change underlying trust qualification.

Basis Detail Page

Clicking a row opens the detail page for that opportunity.

Sections

Header: Exchange, underlying, future symbol, expiry badge, trust badges

Primary Metrics: Model-adjusted APR, dual-leg capacity, limiting leg

Basis Breakdown: Visual progression from gross to adjusted APR

Gross APR → Fee-Adjusted → Slippage-Adjusted → Model-Adjusted

Pricing: Spot and futures bid/ask/mid prices

Capacity: Spot capacity, futures capacity, dual-leg capacity, limiting leg

Trust: Trust quality, coverage grade, source authority, validation status, warnings

Reality Assumptions: What adjustments were applied

Interpretation

The detail page answers:

• What is this opportunity?
• How was the return computed?
• What costs were deducted?
• How much can I deploy?
• What are the data quality concerns?

Warnings

Warning banners appear when:

• Trust quality is low
• Significant fallbacks were used
• Contract is inverse (non-linear P&L)
• Near-term expiry amplifies cost impact

Basis Simulator

The simulator models potential outcomes for basis positions.

Scenarios

Hold to Expiry: Full position held until contract settlement

• Assumes 100% basis capture at expiry
• Deducts entry + exit costs
• Applies trust haircuts if enabled

Early Exit: Position closed before expiry

• Models partial basis convergence
• Uses convergence assumptions (linear, conservative, custom)
• Higher uncertainty than hold-to-expiry

Inputs

• Notional position size
• Entry/exit fee estimates (defaults available)
• Entry/exit slippage estimates (defaults available)
• Trust haircut toggle
• Holding period (for early exit)
• Convergence model (for early exit)

Outputs

• Expected PnL (USD)
• Expected return (%)
• Annualized return (%)
• Cost breakdown
• Confidence level

Confidence Levels

What Simulation Is Not

Simulation is a scenario engine, not a forecast engine.

Results depend on assumptions that may not hold:

• Actual execution costs may differ
• Early-exit convergence is uncertain
• Market conditions can change

Use simulation for scenario exploration, not as a guarantee.

Planner Integration

The Capital Planner supports mixed funding + basis allocation.

How Basis Appears

When basis allocation is enabled:

• Basis candidates compete alongside funding candidates
• Allocation shows strategy type (FUND / BASIS badges)
• Summary splits by strategy family
• Basis-specific columns appear (expiry, basis %, capacity)

Basis Constraints

The planner enforces:

• Max basis share: Overall portfolio basis limit
• Max per-expiry bucket: Concentration by expiry
• Max inverse share: Inverse contract limit
• Exchange concentration: Per-exchange limits

Planner Philosophy

The planner is a bounded recommendation tool.

It suggests capital allocation based on current market data and constraints. It does not:

• Guarantee execution
• Promise realized returns
• Account for market movements after planning

Cross-Surface Consistency

All basis surfaces use the same underlying data:

• Same opportunity engine
• Same reality adjustments
• Same trust qualification
• Same canonical metrics

The difference is presentation depth, not data truth.

Summary

Use the appropriate surface for your current task.