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Bitcoin futures carry yields fall below two-year Treasuries

Bitcoin three-month futures basis has trailed two-year Treasury yields for 157 days, and July volume slipped to just over $880 million from February's $1.47 trillion peak.

Reported · Written up by our desk · Market Structure

CoinDesk reports that bitcoin futures’ carry has deteriorated, with bitcoin futures basis yields now trailing short-term U.S. Treasury notes since February. Data cited from Glassnode shows the strategy has gone from paying more than 20% during the 2021 bull market to returning roughly 3% compared with an average 3.8% yield on two-year Treasuries.

In practice, carry traders have profited from the gap between futures and spot prices by shorting bitcoin futures while buying a spot exchange-traded fund. CoinDesk says that when carry pays less than Treasuries, traders and allocators have less incentive to deploy capital into the futures market, contributing to reduced activity.

CoinDesk also points to Glassnode comments that three-month futures basis has paid less than a two-year Treasury for 157 days, a length not seen for more than five months, aside from an earlier period that ended at a cycle low in late 2022 into early 2023. The outlet adds that the weakening basis aligns with broader crypto market conditions and a shift toward greater efficiency, where fewer large arbitrage opportunities can emerge.

CoinDesk further notes that bitcoin futures volumes have fallen sharply, with July volume just over $880 million after declining from February’s $1.47 trillion peak, citing Coinglass. The report frames the basis drop as a sign of shrinking price discrepancies, which can reduce outsized arbitrage but may coincide with tighter bid-ask spreads and easier hedging.

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