(Part1) Gold Arbitrage Setup - Apr 2026
[Disclaimer] The following analysis only represents my personal opinion on the markets and does not serve as investment advice. You are solely responsible for using this analysis to enter a trade at your discretion. The author is not liable for any losses caused from this analysis
Today I found a nice trade setup between GC Futures and Spot Gold. My goal is to go long on GC Futures and short Spot Gold, hoping to make money on the futures premium while also generating profits from positive swaps on MT5.
Below you can see the historical basis between GCM6 Futures and CFD Gold on IC Markets.
The general assumption here is that the futures price will converge to the spot price at the expiry date. GCM6 will expire on 26th June 2026 and on this date we will assume that the basis will be around 0.
The basis is the difference between the futures price and spot price.
basis = price(futures) - price(spot)As of this moment, the basis measured on 13th April is 22 USD. Let's calculate the funding rates for GCM6 and Spot Gold.
XAUUSD Swaps on MT5
On the right image, you can find swap values on MetaTrader5 for the product XAUUSD CFD which references Gold spot price.
The value 'swap short' represents the amount of money you will be credited for holding a short position.
Currently, you will generate 0.528 cents per 1 unit of Gold that you short.
We can convert the 'swap short' value to an estimated annual funding rate using this formula:
annual_rate_short = swap_short * 365 / current_spot_price
swap_short = 0.528
current_spot_price = 4715
annual_rate_short = 0.528 * 365 / 4715
annual_rate_short = 0.0408 or 4.08%Next, we want to compute the implied funding rate for our GCM6 futures. First, it's important to note that futures assets don't have any funding rates or swap. That is because the funding rate component is already included in the price itself, which you can deduct from the basis. The implied funding rate is only used to compare it against the funding rate of another asset to see if there is an arbitrage opportunity.
implied_funding_rate = (basis / days_to_expiry) * 365 / current_spot_price
# GCM6 expires on 26th June, today is 13th April -> 74 days until expiry
basis = 22
current_spot_price = 4715
implied_funding_rate = (22 / 74) * 365 / 4715
implied_funding_rate = 0.023 or 2.3%What does the implied funding rate mean for us? Because basis is positive (contango), holding a long position on futures will lose us money because of decaying futures premium.
futures_long_rate = -2.3%
spot_short_rate = +4.08%
net_rate = futures_long_rate + spot_short_rate
net_rate = +1.78%Using the formula above, we can see, that we can generate a positive yield. 1.78% might not sound a lot but we can apply leverage to our positions to magnify the gains.
Leverage scenarios:
5% - 8.9% yield
10% - 17.8% yield
Anyways, this is just maths and theory. In the next post update, I will show you my trade setup where I will long GCM6 futures on Interactive Brokers and short XAUUSD on MT5. But before, here are some risks to consider...
Risks:
Remember to include commission and spread in the cost
High leverage can cause liquidation on one side (bad)
The yield is assumed at expiry date. Swap value on MT5 can change over time and end the arbitrage early, causing a loss
Basis does not move linearly. During the trade, it is possible to have significant floating losses.
Comments