Bitcoin Futures Carry Trade Yields Collapse: A Shift to Lower Returns

The bitcoin futures carry trade has seen its yields collapse, making it less attractive to traders compared to short-term U.S. Treasury notes.

During the 2021 bull market, the trade yielded over 20%, but since February 2026, it has paid less than short-term U.S. Treasuries, with current returns of about 3% versus an average 3.8% yield on two-year Treasuries.

The three-month bitcoin futures basis has trailed the two-year Treasury note for 157 consecutive days, one of the longest such stretches on record.

Bitcoin futures trading volume dropped from a peak of $1.47 trillion in February 2026 to roughly $880 million in July, according to Coinglass.

The shrinking basis signals greater liquidity and a maturing derivatives market, rather than a warning sign for the market.