Cash-and-carry is an arbitrage strategy that involves buying an asset at spot while simultaneously selling a futures contract on the same asset, with the goal of pocketing the spread between the two prices at expiry. If bitcoin trades at $80,000 spot and the quarterly futures contract stands at $84,000, the operation generates a certain gain of $4,000, or 5% per quarter, which translates to 20.1% annualized, since the contract must converge to the spot price at maturity. This stated yield, however, shrinks after accounting for the actual capital locked in margin and the fees paid on both legs of the operation. The strategy carries specific risks: margin calls in the event of adverse price movements, the need to renew the position each quarter at potentially different basis levels, and counterparty or liquidation risk in case of a sharp market move. The spread between futures and spot prices, called the basis, acts as a thermometer of buyer leverage demand: it exceeds 20% annualized during euphoric periods, collapses after crises such as the FTX collapse in November 2022, and can turn negative during panic.
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