The bitcoin futures yield collapse: Once over 20%, now less than Treasury notes
Bitcoin futures carry trades are currently yielding less than two-year Treasury notes, marking a significant shift from the 20% yields seen during the 2021 bull market. This decline in basis trade profitability reflects a maturing crypto market with increased liquidity and fewer arbitrage opportunities.
Why it matters
The collapse in carry trade yields signals a cooling of speculative crypto activity and a shift in how institutional capital is deployed relative to traditional government bonds.
Carry trades consistently yielded 20% or more across regulated and unregulated crypto exchanges during the 2021 bull market. The strategy involved shorting bitcoin BTC $ 62,729.30 futures while simultaneously buying a spot exchange-traded fund (ETF). Now they return just 3% compared with an average 3.8% yield on two-year Treasuries.
Traders have long used futures, agreements to buy or sell an asset at a set price on a specific date, to set up trades that profited from the gap between futures and spot prices, known as basis. That basis, in annualized terms, has been lower than the two‑year Treasury note continuously for more than five months, according to data source Glassnode.
"Three-month futures basis has paid less than a two-year Treasury since February. Only one other stretch on record has run this long: August 2022 into January 2023. It ended at the cycle low," Glassnode said in a post on Telegram.
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