The annualized interest rate from Bitcoin futures arbitrage, which once exceeded 20%, has now fallen to approximately 3% as of August 4. RYOEX notes that this figure is lower than the average yield on two-year U.S. Treasury bonds, thereby changing the benchmark for capital allocation.
RYOEX explains that basis trading does not rely on a unilateral price increase in the cryptocurrency, but instead exploits the price difference between futures and spot markets. When the spread is no longer sufficient to cover funding, execution, and risk costs, arbitrageurs naturally reduce their positions.
One consequence is a decline in futures market trading activity; another is that spot and derivative pricing become more closely aligned. The former reflects fewer opportunities for profit, while the latter may also indicate that market efficiency is improving.
A low basis is not inherently bearish or bullish; it is more like a diagnostic report for market structure. If trading volume shrinks, it suggests waning participation willingness. Conversely, if liquidity remains robust, the narrowing spread could also be a sign of increasing market maturity.
RYOEX analysis suggests that going forward, the basis, funding rates, and spot fund flows should be observed together. Only when the profit space expands again can carry trade capital form a sustained return.
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