Cash-and-Carry

The cash-and-carry is the canonical basis trade. When a future trades rich to spot (contango), lock the spread:

1. Buy spot (say 1 BTC at $64,000).
2. Short the future in equal notional (1 BTC of the June contract at $65,280).
3. Hold to expiry, where F = S by contract.

Price direction cancels. If BTC rises, the spot leg gains what the short loses, and vice versa. What remains is the entry basis, here $1,280 ≈ 2%, earned over the holding period regardless of where BTC went:

PnL ≈ notional × (entry basis − exit basis)      (exit basis → 0 at expiry)

Why it isn't free money

The carry return is bounded, and the risks are mostly operational: exchange and custody risk on both legs, margin calls on the short if BTC rips (the spot hedge gains, but it isn't margin at the futures venue), fees on two legs, and mark-to-market swings in the basis before convergence. Annualized, the premium competes with simply lending. That's why traders rank opportunities by net annualized basis and only deploy when it clears their hurdle.

On AlphaProve

The two-legged structure on this page — long spot against a short future — is not something AlphaProve executes: the engine simulates one perpetual instrument at a time, with no spot leg and no dated contract to sell against it. Where this trade harvests a convergence, the perp world harvests a funding stream instead, and that is the piece the platform models honestly, applying each funding payment in the cost model. So a funding-aware perp strategy is backtestable here; the classic cash-and-carry, with its custody and cross-venue margin mechanics, is not.