Биткойн (BTC) has been struggling to break the $60,000 resistance for almost a month. But despite the impasse, BTC futures markets have never been so bullish. While regular spot exchanges are trading near $59,600, the BTC contracts maturing in June are trading above $65,000.
Futures contracts tend to trade at a premium, mainly on neutral-to-bullish markets, and this happens on every asset, including commodities, акции, indexes, and currencies. тем не мение, а 50% годовая премия (основа) for contracts expiring in three months is highly uncommon.
Unlike the perpetual contract — or inverse swap, these fixed-calendar futures do not have a funding rate. Таким образом, their price will vastly differ from regular spot exchanges. Fixed-calendar futures eliminates eventual funding rates’ spikes from the buyers’ perspective, which can reach up to 43% в месяц.
С другой стороны, the seller benefits from a predictable premium, usually locking longer-term arbitrage strategies. By simultaneously buying the spot (regular) BTC and selling the futures contracts, one gains a zero-risk exposure with a predetermined gain. Таким образом, the futures contracts seller demands higher profits (премия) whenever markets lean bullish.
The three-month futures usually trade with a 10% к 20% versus regular spot exchanges to justify locking the funds instead of immediately cashing out.
The above chart shows that even during the 250% rally between March and June 2019, the futures’ basis held below 25%. It was only recently in February 2021 that such phenomena reemerged. Bitcoin surged by 135% в 60 days before the 3-month futures premium surpassed the 25% annualized level on Feb. 8, 2021.
While professional traders tend to prefer the fixed-month calendar futures, retail dominates perpetual contracts, avoiding the expiries’ hassle. более того, retail traders consider it expensive to pay 10% or larger nominal premiums, even though perpetual contracts (обратные свопы) are more costly when considering the funding rate.
Хотя недавний 0.20% funding rate per 8-hour is extraordinary, it is definitely not unusual for BTC markets. Such a fee is equivalent to 19.7% per month but seldom lasts more than a couple of days.
A high funding rate causes arbitrage desks to intervene, buying fixed-calendar contracts and selling the perpetual futures. Таким образом, excessive retail long leverage usually drives the futures’ basis up, not the other way around.
As crypto-derivatives markets remain largely unregulated, inefficiencies shall continue to prevail. Таким образом, в то время как 50% basis premium seems out of the norm, one must remember that retail traders have no other means to leverage their positions. В очереди, this causes temporary distortions, although not necessarily worrisome from a trading perspective.
While exorbitant funding rate fees remain, leverage longs will be forced to close their positions due to its growing cost. Таким образом, December’s $73,500 contract does not necessarily reflect investors’ expectations, and such a premium should recede.
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