Bitcoin futures carry collapses: basis yields below Treasuries
Bitcoin futures carry trade returns have collapsed. Glassnode data shows the bitcoin futures basis yield has trailed the 2-year U.S. Treasury note since February, with the three-month bitcoin futures basis yielding less than the 2-year Treasury for 157 days. This follows the 2021 bull market, when bitcoin futures carry paid over 20%.
The shift is stark: traders who previously profited by shorting bitcoin futures while buying spot BTC ETFs now see carry returns around 3%, versus roughly 3.8% on two-year Treasuries. As the bitcoin futures yield falls, arbitrage incentives shrink and capital allocation to futures weakens.
Market activity has already cooled. Coinglass reports July bitcoin futures volume around $880 million, down from a February peak near $1.47 trillion. The article also notes that falling basis can reflect improving market efficiency and liquidity—fewer price discrepancies can mean tighter spreads and less outsized arbitrage.
For traders, the key signal is that bitcoin futures yield is no longer competitive versus government paper, which can reduce leverage demand in the near term even if the market structure is gradually maturing.
Bearish
The article’s main actionable takeaway is the collapse of the bitcoin futures yield relative to risk-free Treasuries. When basis carry underperforms government paper for multiple months, it typically reduces demand for leveraged futures positioning and arbitrage capital. The reported drop in July volume versus the February peak supports that transmission to market activity.
That said, lower basis can also indicate fewer pricing inefficiencies and more mature liquidity. Historically, these “efficiency” phases can stabilize microstructure (tighter spreads, cleaner hedging) but they usually do not instantly reverse broader risk sentiment. In similar carry-trade unwind episodes (e.g., when funding or relative-rate conditions turn against the trade), leverage tends to unwind first, and any structural improvement follows later.
So the expected impact is bearish in the short term (less incentive to hold BTC futures carry, reduced derivatives liquidity/positioning). Over the longer term, if market efficiency keeps improving while spot demand re-accelerates, the effect could become neutral—but the direction implied by the continued sub-Treasury basis since February remains negative for carry-driven bullish momentum.