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updated —SPY Funding Arbitrage Backtester
Size per leg$
R-trip cost
on +$10000.00 per leg · +$20000.00 turnover · funding covers it in ~17d
Funding ArbitrageLooking at price convergence? → /price-pair
Current Net APR · Snapshot
+2.02%
7d Period Avg+0.62%
swing±16.84%
LONG Lighter · now
+3.51%
7d avg:+4.65%
SHORT Ondo · nowSPY-USD.P
+5.52%
7d avg:+5.27%
Entry Spread Now
−0.860%
Against youL ask 756.9600 · S bid 750.4500−$86.00 at entry
24h range −0.15%…+0.19% · median −0.07%
Long pays every1hShort pays every1h
LONGmaker0%/taker0%SHORTmaker0.015%/taker0.035%
Loading Funding History…
↗Total PnL
−$8.31
−0.08%
$Avg Daily PnL
+$0.17
+0.0017%
★Best Day
+$0.55
Nov 10
◎Open Interest
Lighter$12.95M
Ondo$2.69M⚡Funding APR
+0.62%
annualized · funding only
⚠Execution Cost
−$9.50
entry + exit fees
⏱Payback
1.9mo
to break even
◧24h Volume
Lighter$25.12MOndo$1.21MLoading Cumulative PnL…
How it works: Funding PnL is bucketed daily from real settlement history. Execution Cost = round-trip taker fees + live L2 orderbook slippage on both legs (−$9.50 for size $10,000). Slippage scales nonlinearly with position size — try a larger size to see thin upper levels run out.