Half-life

How long will this opportunity last? Half-life tells you.

Sort opportunities by half-life

Definition

Half-life measures the time for the funding rate to decay to 50% of its current value. It quantifies the persistence of a funding opportunity.

t_{1/2} = \frac{\ln(2)}{\lambda}

Where $\lambda$ is the decay constant estimated from historical rate volatility.

The decay factor at time $t$ is:

D(t) = e^{-\lambda t} = 2^{-t/t_{1/2}}

Half-life	Category	Strategy
72h+	Very stable	Long-term positions viable
24-72h	Stable	Standard holding periods
12-24h	Moderate	Shorter holds, active monitoring
4-12h	Volatile	Quick entry/exit required
<4h	Highly volatile	Difficult to capture

For a 48-hour holding period:

Longer half-life means more of the headline rate survives over your holding period.