Bitcoin Futures Arbitrage Yield Slides Below Treasuries

Bitcoin futures arbitrage typically involves buying bitcoin in the spot market while selling higher-priced futures, locking in the spread as the contracts converge. Annualized returns topped 20% during the 2021 crypto bull market, drawing institutional capital to a trade once viewed as unusually lucrative. The yield’s fall below U.S. government debt now signals narrower pricing gaps, weaker speculative demand and a maturing market.

Since February 2026, the annualized return on the bitcoin futures arbitrage trade has fallen to about 3%, below the roughly 3.8% yield on two-year U.S. Treasury notes. The shrinking premium, combined with a cryptocurrency bear market, has sharply reduced bitcoin futures trading volumes. Compared with returns exceeding 20% at the 2021 peak, the trade now offers investors less compensation than short-dated government debt.