Align instrument and time
This is a hypothetical basis review. A spot index, tradable spot, and futures settlement may use different constituents or timestamps. Confirm the underlying, expiry, settlement, and annualisation before interpreting the spread.
List every carry input
Financing, borrow, custody, fees, margin use, and counterparty limits shape attainable return. Missing one input can make the displayed basis look better than the position.
- Source of cash and collateral.
- Margin calls and liquidation path.
- Delivery or roll cost.
- Transfer and settlement time across venues.
Ask why the spread exists
Directional demand, hedging, balance-sheet limits, and venue segmentation can all create basis. They imply different convergence speeds and failure modes. “Arbitrage will close it” is usually an incomplete explanation.
Exit deserves the same attention as entry
A large position may not unwind both legs together. Record staged execution, further basis widening, and a sudden loss of liquidity in the review.