Futures basis
The futures basis is the difference between a futures contract's price and the price of its underlying cash instrument at the same moment. For equity index futures it mainly reflects financing cost minus expected dividends until expiry, and it is the number you must add to a cash-index level, such as a gamma level computed on SPX, to place it on an ES chart.
Senzoukria · Glossary · Updated September 2026
What the basis is made of
A futures contract settles to the cash index at expiry, so until then its price equals the index plus a carry term. For equity indices the carry is the cost of financing the index basket until expiry minus the dividends the basket pays over the same period. When financing costs exceed expected dividends the future trades above cash; when dividends dominate it trades below.
The basis therefore is not a constant. It changes with interest-rate expectations, dividend estimates and the time left to expiry, and it converges toward zero as the contract approaches settlement. It also jumps at each quarterly roll, when the front contract changes.
- Basis = futures price − cash index price, measured at the same instant.
- Its sign and size depend on rates, dividends and time to expiry.
- It differs between contract months of the same product.
Why order flow traders care
- Options-derived levels are computed on a cash or ETF underlying (SPX, SPY, NDX, QQQ), not on ES or NQ; moving them onto a futures chart requires adding the basis.
- A fixed offset copied from yesterday will be wrong by however much rates, dividends or the calendar moved overnight.
- The index-to-ETF ratio adds a second conversion: a SPY or QQQ level must first be scaled to index points before the basis is applied.
- Rounding the result to the contract tick is the last step, and it introduces its own small error.
In Senzoukria
The GEX module reports gamma levels on the options underlying it was computed from, with 'Spot at {time}' stamped next to the snapshot, and the Zero Gamma, Call Wall and Put Wall levels on that underlying. The application does not invent a basis for you; carrying one of those levels onto an ES or NQ footprint is the transposition described in the guide on GEX for ES and NQ futures, and the measurement of the basis from live quotes remains the trader's responsibility.
The GEX view itself is conditional on an options data source being configured; a futures feed alone cannot produce it.
Common mistakes
- Adding the same offset to every SPX level for a week without re-measuring.
- Applying the SPX basis to NQ, which tracks a different index and a different contract month curve.
- Confusing the basis with the bid-ask spread or with the difference between two contract months (the calendar spread).
- Reading a mapped level as if it were resting liquidity in the futures book.
Related
- GEX on ES and NQ futures
- What is gamma exposure
- Gamma exposure (GEX)
- Contract specifications
- GEX workspace
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Frequently asked questions
- How do I measure the basis for ES right now?
- Take the live ES front-month quote and the live S&P 500 index value at the same moment and subtract the index from the future. Use quotes with matching timestamps; a delayed index against a live future gives a basis that mixes two different times.
- Does the basis change during the day?
- Yes, though usually slowly. It moves with rate and dividend expectations and drifts as expiry approaches, and it can shift noticeably around the quarterly roll or after an interest-rate decision. Re-measure it whenever you re-map a level rather than reusing a morning figure all day.
- Is the basis the same as contango?
- Related but not identical. Contango and backwardation describe the shape of the curve across contract months; the basis is the gap between one contract and the cash price. A positive basis on the front month often goes with a curve in contango for equity indices, but the terms answer different questions.