Bitcoin Futures Yields Drop Below Treasuries, Signaling Market Maturity

Woofun AI reports that bitcoin futures have consistently underperformed U.S. Treasuries since February, a structural shift monitored by Glassnode that marks a departure from the asset's historical risk premium.

During the 2021 bull market, carry traders extracted yields of 20% or more by shorting bitcoin (BTC) futures while simultaneously buying a spot exchange-traded fund (ETF). This strategy exploited the basis—the gap between futures, which are agreements to buy or sell an asset at a set price on a specific date, and spot prices.

However, the annualized basis has now fallen below the yield on two-year Treasuries, eroding the profitability of this arbitrage mechanism.

Per Woofun AI, the three-month basis has yielded just 3%, trailing the 3.8% average on two-year Treasuries for five months. Glassnode noted in a Telegram post that this duration matches only one prior stretch: August 2022 into January 2023, which ended at the cycle low. A Sunday chart from Glassnode confirms the basis has lagged Treasury yields for 157 days, signaling a persistent compression of returns.

This yield collapse dampens incentives for capital deployment, reflected in Coinglass data showing July volume at $880 million, down from a February peak of $1.47 trillion amid the crypto bear market. The shrinking basis indicates greater liquidity and market maturation, as price discrepancies narrow. Consequently, the market is moving toward tighter bid-ask spreads, easier hedging, and fewer outsized arbitrage opportunities.