Exploits the basis between spot and futures price. Low-risk delta-neutral strategy.
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Basis Trader is a basis arbitrage strategy between the spot market and Bitcoin/Ethereum perpetual futures. The 'basis' is the price gap between BTC spot and BTC futures — normally, futures trade at a premium (contango) because traders pay for leverage. Basis Trader captures this premium by simultaneously buying spot and shorting futures, aiming to capture the spread at convergence (fees, funding and counterparty risk apply). It's one of the most widely used strategies by crypto hedge funds.
Monitors spot-futures spread (basis) in real-time. When futures premium exceeds 0.5% (annualized > 20%), opens position: long spot + short futures for the same amount (delta neutral). Collects funding rate (paid by longs to shorts in contango). Closes when basis normalizes or inverts. Historical yield varies; reduced directional exposure but counterparty and execution risks remain.
Real-time basis (spot-futures spread). Perpetual funding rate (8h). Annualized basis rate (%). Futures Open Interest (liquidity). Contango vs backwardation. Historical average funding rate.
Low
Captures the contango premium when it exists. Delta neutral: little dependence on market direction. Strategy known to institutional funds. Counterparty, liquidation and execution risks.
Zero or negative returns in backwardation (intense bear market). Liquidation risk on short futures if price rises sharply. Capital tied up on both sides (spot + futures margin). Exchange fees on both positions.
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