Bitcoin futures basis on the CME has climbed above the 2-year Treasury yield for the first time in months, a shift that makes the cash-and-carry trade look profitable again. On Aug. 7, the annualized basis for the August contract stood at 7.89%, versus 4.19% for the 2-year Treasury. The September and December contracts also cleared that bar, at 6.25% and 5.69%. The move comes as U.S. spot Bitcoin ETFs logged $853.54 million in net inflows for the week ended Aug. 7, with positive flows every session.
Basis flips above Treasuries
Analyst Marc Baumann had been tracking a 157-day stretch where the crypto basis trailed the 2-year yield, with his figures showing the spread near 3% and the Treasury at 3.8%. But a matched-date calculation for Aug. 7 puts the basis well above that, breaking the streak. The gap between the August contract and the Treasury is now 3.7 percentage points, a level that hasn't been seen in months. The basis is the annualized return from holding spot and shorting futures, and when it exceeds the risk-free rate, the carry trade looks attractive.
ETF inflows stay strong
The week's $853.54 million in net inflows came with positive flows in every session, a sign that demand for the funds remains steady. The pace suggests institutional interest isn't fading, even as the basis trade draws attention. That's a notable contrast to the July data, which showed a much slower month overall.
The 'riskless' trade has costs
The cash-and-carry trade—buying spot Bitcoin and shorting futures—is often pitched as riskless arbitrage. But a Bank for International Settlements study found that one-month CME Bitcoin carry exceeded 20% at points in 2021, and it documented financing, leverage, margin, and liquidation risks. The article notes that calling the trade 'riskless' obscures costs like financing, margin, fees, and execution risks. Even with the basis above Treasury yields, those costs eat into the spread.
Data discrepancies
There's also a wrinkle in the July ETF flow data. The article points out that July net inflows were about $172 million, while July 21 alone contributed roughly $203 million. A cited $205 million appears to be a rounded daily figure, not a monthly total. That kind of mismatch matters when investors are trying to gauge the real pace of inflows.
The August CME contract settles later this month, and the basis will be tested as expiry approaches. If it holds above Treasury yields, expect more carry trades—and more scrutiny of the costs that come with them.
