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updated —SP500 Funding Arbitrage Backtester
Size per leg$
R-trip cost
on +$10000.00 per leg · +$20000.00 turnover · funding covers it in ~2.8d
SWAP leg on Variational: its funding (SOFR + spread, longs usually pay ~5%/yr) is not published and is counted as 0 here — real return is lower. Check the rate on the venue screen.
Funding ArbitrageLooking at price convergence? → /price-pair
Current Net APR · Snapshot
+3.51%
7d Period Avg+2.60%
swing±6.76%
LONG Variational · nowUS500S
+0.00%
7d avg:+0.00%
SHORT Lighter · nowUS500-USDC
+3.51%
7d avg:+2.60%
Entry Spread Now
+0.112%
In your favorL 7,537.25 · S 7,545.7+$11.21 if it converges
24h range −0.16%…+0.20% · median −0.01%
Long pays every8hShort pays every1h
LONGmaker0%/taker0%SHORTmaker0%/taker0%
Loading Funding History…
↗Total PnL
+$2.31
+0.02%
$Avg Daily PnL
+$0.72
+0.0072%
★Best Day
+$0.96
Nov 9
◎Open Interest
Variational$27.11M
Lighter$3.32M⚡Funding APR
+2.63%
annualized · funding only
⚠Execution Cost
−$2.73
entry + exit fees
⏱Payback
3.8d
to break even
◧24h Volume
Variational$181.49MLighter$7.10MLoading Cumulative PnL…
How it works: Funding PnL is bucketed daily from real settlement history. Execution Cost = round-trip taker fees + fees only (orderbook snapshot stale) on both legs (−$2.73 for size $10,000). Slippage scales nonlinearly with position size — try a larger size to see thin upper levels run out.