Funding arbitrage calculator
Model a delta-neutral pair: equal notional long on one venue and short on another. Everything is computed in your browser.
Results
Net P&L—
Net APR on capital—
- Spread APR
- —
- Funding received
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- Fees + slippage (4 fills)
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- Net APR on notional
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- Capital required
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- Breakeven
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- Rough liquidation distance
- —≈ 1/leverage, before maintenance margin and fees. Each leg can be liquidated on its own: keep a buffer and rebalance.
Open the venues
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Convention: a positive funding rate means longs pay shorts. The long leg earns −APR, the short leg earns +APR. Fees apply to opening and closing both legs (4 fills).