Bitcoin Futures Carry Trades Outperform Treasury Yields Amid Surge in US Spot ETFs

The Bitcoin futures carry trade is quietly outperforming US Treasury yields, according to recent data. Analyst Marc Baumann observed that on August 7, the annualized Bitcoin futures basis was near 3% while the two-year Treasury yield was at 3.8%. This marks a significant shift from previous periods when the crypto spread trailed the government benchmark.

Using a matched-date calculation, Baumann found that three gross annualized readings for the August contract were above the same day's 4.19% Treasury yield, with the December contract producing the smallest reading at 5.69%. The highest gross annualized basis was seen in the August contract at 7.89%, followed by September at 6.25% and December at 5.69%.

This development has led to a surge in US spot Bitcoin ETFs, with net inflows reaching $853.54 million in the week ended August 7. The increase in carry demand should leave several observable traces, including a clear funding benchmark matched to the contract horizon after costs, persistent ETF net inflows as the spread widens, and greater use of short futures by CME traders.