Is cost of carry the same as the basis?

The carry is the theoretical reason for the basis. The basis is the observed difference between a futures price and the cash price at a moment; the cost of carry is what that difference should be if nothing else were at work.

Can the cost of carry be negative?

Yes, net of income. When the dividend yield of an index exceeds the financing rate, the carry is negative and the theoretical futures price is below the index.

Cost of carry

The cost of carry is the net cost of holding the underlying of a futures contract until delivery: financing, plus storage and insurance for physical goods, minus any income such as dividends. It links the futures price to the spot price, which is why a deferred future trades above spot when carry is positive and below it when income dominates.

Senzoukria · Glossary · Updated September 2026

Definition

The CFTC glossary calls these carrying charges: the cost of storing a physical commodity or holding a financial instrument over a period of time, including insurance, storage and interest. For a stock index the physical costs vanish, and the carry becomes the financing rate minus the dividend yield.

The relationship with futures prices

In a simple form, a futures price equals the spot price plus the carry to expiry. For an index, with a net rate equal to the interest rate minus the dividend yield, the carry is spot × net rate × days / 365. CME's filed daily settlement procedure for equity index futures uses the same structure when it has to derive a price from the cash index: index price + (days to expiration / 365) × interest rate × index price, where the rate is a normalised interest rate minus the expected dividend yield.

Worked example

Index at 5,000.00, net rate 1.5 percent a year, 73 days to expiry. 73 / 365 = 0.2, so the carry is 5,000 × 0.015 × 0.2 = 15.00 index points and the theoretical future is about 5,015.00. With 36.5 days left and the same inputs, the carry halves to 7.50 points: the premium shrinks as expiry approaches.

Why an order flow trader should know it

It explains why ES trades at a different price from the S&P 500 index and why that gap changes through the quarter.
It explains the size of the jump between two contracts at the roll.
It is the reason an options-derived level on the cash index must be shifted before it is placed on a futures chart.

In Senzoukria

The application does not compute carry or a theoretical futures price. Its GEX module reports levels on the options underlying with the spot at the time of the snapshot, and moving such a level onto an ES or NQ chart requires the basis measured by the trader from live quotes.

Common mistakes

Using the interest rate alone and forgetting the dividend yield.
Treating carry as constant through the quarter.
Applying one product's carry to another product or another contract month.

In the same section

Sources

CFTC glossary (2026-09-25)
CME equity index daily settlement procedures, CFTC rule filing (January 2018) (2026-09-25)

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Frequently asked questions

Is cost of carry the same as the basis?: The carry is the theoretical reason for the basis. The basis is the observed difference between a futures price and the cash price at a moment; the cost of carry is what that difference should be if nothing else were at work.
Can the cost of carry be negative?: Yes, net of income. When the dividend yield of an index exceeds the financing rate, the carry is negative and the theoretical futures price is below the index.

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