Bitcoin Futures Yield Falls Below U.S. Treasuries as Arbitrage Spread Continues to Narrow
0xBroomberg
Bitcoin's three-month futures basis has trailed the two-year Treasury yield for 157 straight days, draining the appeal of a carry trade that once returned over 20% annualized — parking cash in government bonds now pays more.
How far has the futures yield fallen below Treasuries?
Glassnode data shows the annualized three-month Bitcoin futures basis sits at roughly 3%, while the two-year U.S. Treasury averages about 3.8%.
This means → dollar-for-dollar, a risk-free government bond now out-earns the crypto carry trade.
The spread has been negative for 157 days — over five months. Glassnode notes only one comparable stretch in history: August 2022 to January 2023, a period that ended at the cycle low.
What is basis arbitrage, and why did it used to pay so well?
The basis trade — or cash-and-carry — works by shorting Bitcoin futures while buying spot ETFs, capturing the gap between the two prices.
During the 2021 bull market this strategy returned over 20% annualized on both regulated and unregulated exchanges — far above any traditional fixed-income product.
In plain terms = when sentiment runs hot, futures get bid far above spot; that gap is the arbitrageur's profit. Today the gap has nearly closed.
What does trading volume show?
Per Coinglass, Bitcoin futures volume in July was just over $880 million, down sharply from a February peak of $1.47 trillion.
Volume has declined steadily since February, tracking the broader crypto bear market.
This means → lower arbitrage returns → capital exits the futures market → volume contracts further — a negative feedback loop.
Is a shrinking basis necessarily bad?
Not entirely. A narrower basis signals rising market efficiency: better liquidity, tighter bid-ask spreads, lower hedging costs.
In plain terms = fewer arbitrage opportunities mean pricing is getting more accurate — the "easy money" is gone.
This reflects crypto derivatives maturing toward traditional-finance norms, but the price of that maturity is compressed excess returns.
What comes next?
The core question: can the basis reclaim a level above Treasury yields, or will it persist — as Glassnode hints — into a new cycle low?
The only comparable inversion period (August 2022 – January 2023) ended with Bitcoin bottoming out, followed by a fresh rally.
This means → the current low basis could be either "darkest before dawn" or a structural new normal — the answer depends on whether the next cycle arrives.
Content is for reference only, not financial advice.