Crypto
Home›Crypto›Market Structure›Bitcoin futures carry runs above Treasuries, edging ET…
Bitcoin futures carry runs above Treasuries, edging ETF interest
CME-linked calculations on Aug. 7 showed gross annualized Bitcoin futures basis readings from 5.7% to 7.9%, compared with a 4.2% two-year Treasury yield.
Bitcoin futures carry calculations showed Bitcoin’s futures basis above matching Treasury yields on Aug. 7, according to CryptoSlate, challenging a common comparison that circulates across crypto markets.
CryptoSlate cited analyst Marc Baumann as saying the annualized Bitcoin futures basis was near 3% while a two-year Treasury yield was about 3.8%, noting the crypto spread had trailed the government benchmark for 157 consecutive days before that specific observation date.
On Aug. 7, the two-year par Treasury yield was 4.19%, and a matched-date calculation using CME settlement data and a New York Bitcoin benchmark of $64,880 produced gross annualized readings above 4.19%. The December contract produced the lowest reading at 5.69%, while the August contract was highest at 7.89%.
CryptoSlate also noted that gross basis can vary by contract and time to expiry, and that a true “cash and carry” trade is not riskless once spot financing costs, margin, fees, and execution are included, pointing to prior BIS research that highlighted carry-related leverage and liquidation risks.
Latest closeBitcoin $81,906.63 ▼1.4%