Bitcoin futures carry 7.89% as ETFs see $853m inflows

A matched-date calculation using CME settlement data and the New York 4 p.m. ET Bitcoin reference price on Aug. 7 produced gross annualized basis readings of 7.89% for the August futures contract, 6.25% for September and 5.69% for December. The two-year Treasury par yield on Aug. 7 was 4.19% and rose to 4.25% on Aug. 10.

The matched analysis compared each futures contract’s settlement price to the 4 p.m. spot benchmark and annualized the basis for that date. The exchange’s public BasisWatch uses a 60-second time-weighted spot average from 3:59 p.m. to 4 p.m. ET and the nearest monthly futures at 4 p.m.; the matched calculation extended similar arithmetic to contracts beyond the nearest month.

A cash-and-carry arbitrage typically pairs a long spot position with a short futures contract to capture the premium futures trade above spot as the two prices converge. The gross basis reported here reflects the raw premium before financing, margin, funding rates, execution fees and potential liquidation risk are deducted. Those costs can remove much of the gross spread and affect the profitability available to trading desks.

U.S. spot Bitcoin ETFs recorded $853.54 million of net inflows in the week ended Aug. 7, with positive flows in every session. Public fund flow data and Commodity Futures Trading Commission position reports provide aggregated totals by product and trader category but do not connect an individual ETF purchase to a specific futures hedge.

Analyst Marc Baumann previously calculated an annualized Bitcoin futures basis near 3% while the two-year Treasury yield was about 3.8%, and identified a 157-day period in which the basis trailed the government benchmark. The Aug. 7 matched-date reading is higher under the specific inputs used in the recent calculation; different venue choices, contract tenors, roll rules or net-cost assumptions can yield different results.

Observers tracking a return of cash-and-carry arbitrage would assess whether the net basis remains attractive after financing and margin costs, whether ETF net inflows persist as the gross spread widens, and whether CME open interest and short futures positions increase. For institutional desks, the relevant measure is the net basis after funding, balance-sheet and execution costs.