Annualized bitcoin futures basis yields have trailed two-year U.S. Treasuries for over five months, signaling reduced arbitrage opportunities.
Bitcoin futures yields have fallen below two-year U.S. Treasury rates for the first time since February, reflecting a collapse in carry trade returns. The annualized basis yield, once exceeding 20% during the 2021 bull market, has now underperformed Treasuries for over five months.
The decline mirrors a broader crypto bear market, with slumping volumes and reduced arbitrage activity. Data from Glassnode shows this trend last occurred from August 2022 to January 2023, coinciding with a cycle low. The shift underscores a maturing market with diminishing speculative opportunities.
Traders historically profited from the gap between futures and spot prices, but shrinking basis yields have eroded these returns. The three-month futures basis has consistently lagged Treasury yields since February, marking a structural shift in crypto derivatives pricing.