~/markets/derivatives $ cat basis-trade-keri-kripty.md
The basis trade: how funds earn on crypto without betting on price
The basis trade is the delta-neutral classic: buy the asset on spot and simultaneously short its futures. The price can go anywhere - the positions cancel out, and the earnings drip from the spread.
Where the yield comes from
Two sources. On quarterly futures - the contango: the future trades above spot, and toward expiry the spread collapses in your favor. On perps - the funding: in a bull market longs pay shorts, and you happen to be short (hedged with spot). In hot periods the annualized yield is double-digit - "risk-free" on paper.
Why it matters to everyone
The basis trade is the invisible hand of flows: a meaningful share of spot ETF inflows is not "faith in bitcoin" but the arbitrage leg (long the ETF + short the CME future). When the basis compresses, these "buyers" leave as mechanically as they came - and the flow table misleads those who read it literally.
Where it breaks
- Funding goes negative for long (a bear market) - the yield is negative.
- Venue risk: the short leg on an exchange = counterparty risk (FTX's lessons for carry funds).
- Crowdedness: when everyone is in the trade, spreads compress - the yield falls to uninteresting, positions unwind in a wave.
The market's derivatives backdrop - in the section.
#basis trade крипта#керри трейд биткоин#дельта нейтральные стратегии