How Does the Concept of “Carry” Relate to the Pricing of Long-Dated Crypto Futures and Options?

Carry refers to the cost of holding the underlying asset until the derivative's expiration. For long-dated crypto futures, positive carry (contango) means the futures price is higher than the spot price, often due to funding costs or expected appreciation.

This higher futures price can feed into the options pricing model, affecting the long-dated option's premium.