Crypto · Quantitative#149

Futures Basis & Term-Structure Import for Strike Markets

Dated futures trade above or below spot by an amount called basis, and the shape of that curve across expiries is the professional market's own forecast of where price will sit at each future date. You convert that curve into an implied distribution and compare it against Polymarket's 'will BTC close above $X on date Y' ladder. Where the ladder disagrees with the curve by more than fees, you take the side the curve supports — you are importing a deeper, better-capitalized market's opinion.

What you need to run it

  • Dated futures and forward curves from CME plus a large offshore venue
  • Model converting basis + implied vol into a strike-by-strike probability
  • Fee-and-slippage threshold so only meaningful disagreements trigger

Where this applies

Markets on Polymarket where futures basis & term-structure import for strike markets is the natural play:

  • Will Bitcoin close above $150,000 on December 31, 2026?
  • Will Ethereum close above $5,000 on September 30, 2026?
  • Will Bitcoin trade above $120,000 at any point in October 2026?

Capabilities this demands

Data ingestionModel / quantMulti-venue

At a glance

CategoryQuantitative
MarketCrypto
Requirements3
CapabilitiesData ingestion, Model / quant, Multi-venue
VenuePolymarket (CLOB, Polygon)

Build it

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