Definition. 3-Month Futures Annualized Rolling Basis is the annualized yield earned by buying spot BTC and simultaneously selling a futures contract on that asset expiring in three months.

Technical. Crypto futures contracts often trade above spot due to supply, demand, and liquidity factors, allowing participants to capture the spread through a basis trade without taking on directional exposure. On rare occasions the series may show a temporary gap if the exchange has not yet listed the relevant 3-month futures contract.

Interpretation. Positive readings indicate the futures contract trades above spot (contango), and negative readings indicate backwardation.