Every futures contract carries an implicit financing rate. Engine 8 scans 19 futures/ETF pairs across four asset classes and signals when that rate is unusually rich or cheap relative to SOFR and its own history. Signals only — no positions taken.
The basis is the price difference between a futures contract and its underlying spot asset (or ETF proxy). In normal markets, futures trade at a premium to spot — this premium reflects the cost of carry: financing rate, storage costs, and dividends.
When the actual basis exceeds the theoretical fair value (determined by SOFR + storage - dividends), the futures are rich. When below, they are cheap. These mispricings create cash-and-carry arbitrage opportunities for institutional traders and valuable signals for everyone else.
Engine 8 scans across four asset classes, covering the most liquid futures/ETF pairs available on IBKR:
For each pair, every scan cycle computes:
| Metric | What It Tells You |
|---|---|
| Annualized Basis (%) | The carry yield if you held the basis trade to expiry |
| SOFR Spread (bps) | How much the implied financing exceeds the risk-free rate |
| Basis Percentile (0-100) | Where the current basis ranks vs. 90-day history |
| Term Structure | CONTANGO (normal) / BACKWARDATION (inverted) / FLAT |
| DTE | Days to futures expiry — roll warning at 7 days |
Futures are expensive relative to history. Cash-and-carry opportunity: short futures + buy ETF. The SOFR spread is elevated, meaning you earn above-market implied financing.
Futures are cheap relative to history. Reverse cash-and-carry opportunity: buy futures + short ETF. Often signals funding stress or year-end balance sheet effects.
A shift from contango to backwardation (or vice versa) signals a structural change in supply/demand dynamics. Particularly significant for commodities.
When DTE falls below 7 days, the signal flags that contract roll is imminent. IBKR calendar spread orders provide atomic execution for rolling positions.
While Engine 8 is signals-only, every signal includes execution guidance for subscribers who wish to trade the basis:
The S&P 500 implied financing spread averaged 0.3% over SOFR from 2021-2023 but peaked at 1.4% in December 2024 (CME Group, D.E. Shaw Research). The Federal Reserve and CFTC document Treasury basis trades at $260-574B notional. Macrosynergy (2024) validates commodity carry as a standalone trading signal.
These are well-documented, structurally-driven signals — not alpha that decays with crowding. The basis reflects real financing costs, balance sheet constraints, and physical supply/demand.
GateSig is an information-only service. Engine 8 generates analytical signals about futures basis conditions. No positions are taken, no trades are executed, and no investment advice is provided. Subscribers receive signals; they decide what to do with them.