Crypto futures carry
CryptoAdvanced
Perpetual futures and dated crypto futures can trade rich or cheap to spot. The carry is the funding payment or the futures basis. A carry rule buys spot and shorts the rich future, or the reverse when the future is cheap, and harvests the convergence if the hedge holds. The Bank for International Settlements has described this crypto carry. It is a hedged basis trade, not a savings account.
Not investment advice. Nothing here is a recommendation to buy or sell anything. Backtests and historical studies are not guarantees, and a rule that worked in one sample can fail in the next. Trading can lose money. Links are for education, not endorsements. Do your own research.
- Rules
- When the perpetual funding rate or the dated-futures basis is above a threshold you set in advance, buy spot and short the derivative in equal coin terms. Collect funding or roll down the basis. Flatten when the basis flips or when margin would force a liquidation. Keep both legs on venues you can stand to have fail, and cap leverage so a funding spike cannot close the hedge for you.
- Where AI fits
- AI can monitor funding, margin, and the hedge ratio, and it can flatten the pair when the basis leaves the historical range used in the test. It should model fees on both legs. It should not describe funding as interest. A bot that posts screenshots of funding income without the unhedged tail is not this strategy.
- Markets
- Spot bitcoin or ether and the matching perpetual or dated future on a regulated or at least functional venue. Illiquid altcoin perps are a different risk.
- Timeframes
- Funding is often every eight hours. The hedge can be held for days or weeks.
- Risks
- The short future can be liquidated even if the spot hedge is fine, which leaves you naked. Funding can flip sign. Exchanges halt, gap, or fail. Basis can widen past any collateral you planned. This is not a stable yield and not a retail staking substitute.