● Toolkit
When a funding carry starts paying.
A delta-neutral carry collects funding and pays costs. The costs land immediately, in four fills; the funding arrives in slices every eight hours. This works out the moment the second overtakes the first.
How this is worked out
The position modelled is the ordinary one: two legs, held against each other so the
price moves cancel, with funding collected on the perpetual leg.
- Round-trip cost = 4 × (fee + half-spread), as a percentage of notional.
Four, not two: each of the two legs is opened once and closed once.
- Funding per day = rate per 8h × 3, since funding settles three times a
day on the major venues.
- Break-even = round-trip cost ÷ funding per day, in days.
- Net = funding collected over the period − round-trip cost.
Annualised scales that net by 365 ÷ days, without compounding.
What this leaves out, and why it matters: funding is not fixed. The rate you type is the
rate today, and the figure the calculator returns is what you would earn if it held
for the whole period, which it will not. Rates decay, flip sign and spike. Treat the
annualised number as the arithmetic of one assumption, not a forecast. Our guide on
whether funding rate arbitrage is
still profitable runs this same math over two years of real settlements.
It also ignores the margin you must keep against the short leg, any borrow cost on the
long leg, and the chance that one leg is liquidated while the other is not.