The cost of carrying a YT

A YT is the yield half of a Pendle market. It is entitled to what the underlying earns until maturity, and after maturity there is nothing left for it to claim, so its price runs down to zero over the life of the market.

Holding one therefore costs something even while it earns: the price paid today is used up by the maturity date.

Carry puts that cost on a yearly basis. It is the YT's price as a share of the underlying, spread over the days left to maturity and scaled to a year, so it reads as what one year of holding costs at today's price.

It is stated per dollar of underlying notional, not per dollar spent on YT. It moves when the YT price moves and as the days left run down.

Inside one day of expiry too little of a year is left to annualise. The board withholds Carry and Break-even there and prints a dash, which means not measured, never zero.

Carry is gross: no strategy relief is netted off it. A YT holder is also entitled to the underlying yield, which the payload publishes as underlying_yield_annual_pct, and Carry subtracts none of it.

The two rates share a basis, per dollar of underlying notional, so they can be read side by side. How much of Carry the yield covers is their ratio, and the ratio stays the same whichever basis you work on; their difference does not. This page prints the two rates and computes neither.

The yield is a realised rate, read again with each refresh, so it can move while Carry stands still.

Break-even is the yearly rate at which rewards must accrue, on the underlying notional, for the position to break even. It is Carry divided by the market's points multiplier, which is what the farm page says under its Break-even column.

It is a required accrual rate, never a price per point: divide it by a points count and the result has no unit.

Carry and Break-even are two numbers. They differ by exactly the multiplier published beside them, and they coincide only where that multiplier is null or 1x.

So do not take the underlying yield off Break-even. Break-even is already divided by the multiplier, and the yield would have to be divided by it too; subtracting the raw rate overstates the relief by exactly Mult.

The row below is the first on the board that has a reported multiplier and no flag against it, which is the same row the Pts/$ explainer walks through. Its four figures are published fields, printed the way the farm page prints them.

Its Carry divided by its Mult is its Break-even, to the rounding shown. The page leaves that division to you. If the row's Carry is withheld, its cells are dashes and no other row takes its place.

Carry and Break-even are gross: YT earns the underlying yield — see how much underlying_yield_annual_pct covers Carry.

Carry does not say whether a position pays. That turns on the points a programme credits and on what those points turn out to be worth, and this site does not say what a point is worth.

It leaves out gas and slippage, which depend on your size and not on the market.

Break-even does not say whether rewards will reach it. No points emission rate is published here, so nothing on this page turns a points count into an accrual rate.

And both are a reading at the price the board last took. They carry no claim about how long that price will hold.