Bitcoin futures yield collapse: carry trade trails Treasuries for 157 days

Something unusual has happened to one of crypto’s most reliable trading strategies. The bitcoin futures yield collapse now underway means a bet that once handed traders more than 20% annual returns has quietly fallen behind the safest instrument in finance: the short-term U.S. Treasury note. What used to be a near-guaranteed edge for carry traders has turned into a losing proposition compared with simply parking money in government debt.

Key takeaways

• During the 2021 bull market, the bitcoin futures carry trade regularly yielded over 20%, according to data cited by Glassnode.
• Since February 2026, that same trade has paid less than short-term U.S. Treasuries, with current returns of about 3% versus an average 3.8% yield on two-year Treasuries.
• The three-month bitcoin futures basis has trailed the two-year Treasury note for 157 consecutive days, one of the longest such stretches on record.
• Bitcoin futures trading volume dropped from a peak of $1.47 trillion in February 2026 to roughly $880 million in July, according to Coinglass.
• Analysts say the shrinking basis actually points to greater liquidity and a maturing derivatives market, not necessarily a warning sign.

Collapse of Bitcoin Futures Carry Trade Yields

The bitcoin futures carry trade has flipped from a lucrative arbitrage play into a strategy that now underperforms plain government debt. That single fact frames the entire story behind this bitcoin futures yield collapse.

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