Bitcoin futures have consistently underperformed U.S. Treasuries since February, with carry trades yielding just 3% compared to an average 3.8% return on two-year Treasuries. This marks a sharp decline from the 2021 bull market, when similar strategies generated 20% or more. The shrinking basis between futures and spot prices, according to data provider Glassnode, signals reduced inefficiencies and greater market maturity.
The three-month futures basis has paid less than two-year Treasury notes for over five months, a period unmatched in duration since August 2022 to January 2023. Glassnode highlighted this trend in a Telegram post, noting the extended period of underperformance. Trading volume in bitcoin futures fell to $880 million in July, down from a February peak of $1.47 trillion, reflecting diminished investor appetite for leveraged bets.
The shift underscores evolving dynamics in crypto markets, where liquidity and risk management have become prioritised over speculative carry trades. Analysts suggest the narrowing gap between futures and spot prices indicates a maturing ecosystem, though it also raises questions about the long-term viability of strategies reliant on price discrepancies.
The data highlights a broader realignment of investor priorities, with traditional assets like U.S. Treasuries gaining favour amid heightened volatility in crypto markets. As the basis continues to contract, strategies centred on arbitrage may need to adapt to sustain returns.
Written by James Tobias
Markets Desk
