Bitcoin futures carry trades on CME delivered annualized gross yields ranging from 5.69% to 7.89% in early August, outperforming the two-year U.S. Treasury yield of 4.19%. U.S. spot Bitcoin ETFs recorded net inflows of $853.54 million in the week ended August 7. This carry strategy pairs a spot purchase with a short futures contract to capture the premium between futures and spot prices at expiry. However, financing, margin, fees, and execution costs can erase the gross spread, making the trade less attractive than it appears. Available data cannot link an ETF buyer to a specific futures hedge, leaving the exact mechanics of the flow unclear.
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