Bitcoin futures carry trades are yielding 7.89% annualized basis on the August contract as of Aug. 7, exceeding the 4.19% two-year Treasury yield recorded the same day. The premium arrives as U.S. spot Bitcoin ETFs recorded $853.54 million in net inflows during the week ended Aug. 7, marking a resurgence in institutional Bitcoin allocation.
A cash-and-carry position pairs a spot Bitcoin purchase with a short futures contract, capturing the premium as prices converge at settlement. CME Group’s methodology uses a 60-second spot time-weighted average from 3:59–4 p.m. ET matched against the nearest monthly futures contract at 4 p.m. On Aug. 7, the Bitcoin benchmark settled at $64,880 at 4 p.m. ET in New York.
The August contract offered the highest basis of the three front contracts: 7.89% annualized. The September contract yielded 6.25%, and the December contract 5.69%. All three exceeded the two-year Treasury yield, which stood at 4.19% on Aug. 7 and ticked up to 4.25% by Aug. 10.
Execution Costs May Narrow the Spread
The gross basis figures do not account for funding costs, margin requirements, or execution slippage. A Bank for International Settlements study documented financing, leverage, margin, and liquidation risks that could interrupt positions before convergence. CryptoSlate, which reported the carry-trade yields, noted that calling the trade “riskless” overstates its character.
Marc Baumann, an analyst cited in CryptoSlate’s reporting, highlighted the significance of the Aug. 7 observation: Bitcoin futures basis had trailed the government benchmark for 157 consecutive days from Aug. 2022 to Jan. 2023. The Aug. 7 reading breaks that streak, though Baumann’s thread did not disclose the full parameters of his calculation, including venue, tenor, and roll rule, leaving room for variation depending on inputs.
ETF Flows and Carry Trade Correlation
The $853.54 million in spot Bitcoin ETF inflows during the week ended Aug. 7 follows a July pattern of institutional accumulation. U.S. spot Bitcoin ETFs took in approximately $172 million net during July overall, though a single day on July 21 accounted for roughly $203 million of inflows.
ETF and CFTC data show aggregate flows and positions but cannot link an individual ETF buyer to a specific futures hedge.
Historical Context
A Bank for International Settlements study found that one-month CME Bitcoin carry exceeded 20% at points in 2021, demonstrating the volatility of basis premiums across market cycles. The current 7.89% yield, while elevated relative to Treasuries, remains well below those peaks.
