Bitcoin Futures Carry Trade Collapses: Yields Diverge from Treasury Notes

The bitcoin futures carry trade has lost its luster as yields have collapsed to levels below short-term U.S. Treasuries since February.

At one point, this strategy yielded more than 20% during the 2021 bull market, but now it returns a mere 3%, compared to an average 3.8% yield on two-year Treasuries.

The decline in carry returns and the broader crypto bear market have driven bitcoin futures volumes sharply lower, with July volume reaching just over $880 million, down from February's peak of $1.47 trillion.