Bitcoin Futures Carry Trade Collapses as Yields Lag US Treasuries

The carry trade in Bitcoin futures has experienced a significant collapse, with yields falling behind those of short-term U.S. Treasury notes for an unprecedented 157 consecutive days.

This shift marks a dramatic change from 2021, when the trade yielded over 20% returns, according to Glassnode data.

Since February 2026, however, the bitcoin futures carry trade has paid less than short-term U.S. Treasuries every month, with current returns of about 3%, compared to an average 3.8% yield on two-year Treasuries.

The decline in yields is linked to a broader crypto bear market and declining trading volumes, which have plummeted from $1.47 trillion in February 2026 to around $880 million in July.