Learn how pro desks run crypto cash and carry arbitrage with funding math, settlement workflows, Reddit intel, and risk controls.
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Crypto cash and carry arbitrage buys spot while shorting a richer dated future or perp so convergence locks a fixed yield. You stay delta neutral by managing borrow lines and collateral. It works when implied basis beats funding, borrow, tax, and settlement costs.
Crypto cash and carry arbitrage turns futures premiums into predictable income for desks that prefer balance sheet plays over direction bets. Teams coordinate with primes, custodians, and exchanges so spot purchases and futures shorts execute within the same heartbeat.
The edge broadens when quarterly curves trade several percent above spot while borrow desks still quote single digit rates. Treasury leads pre-wire settlement instructions, tax treatment, and loan roll dates so operational drag stays minimal.
Veterans treat the trade like fixed income: if any fee or delay creeps up, they slash size fast. If you have never run it, imagine earning a bond coupon funded by traders willing to pay extra for leverage.
Crypto cash and carry arbitrage buys spot or staking inventory while shorting a richer dated future so price convergence locks in yield. The trade often layers staking or lending income on top of futures premium, but only if hedges stay delta neutral.
Success depends on lining up borrow, tax classification, and settlement rails before capital is committed.
Futures premiums in crypto often reflect leverage demand and staking lockups, not efficient financing markets. Retail longs and structured-product issuers will overpay for leverage near catalysts, creating basis that lingers.
Desks with access to deep borrow pools and low-latency execution recycle that spread before others wake up. When quarterly futures price 3 percent above spot with 60 days left, the raw annualized yield is about 18 percent before your cost stack.
r/ethfinance contributors note that quarterlies on Deribit spike ahead of mainnet upgrades, so cash-and-carry desks prep extra inventory days earlier.
A popular thread on r/BitcoinMarkets stresses running delivery drills because some venues default to cash settlement unless you opt-out.
Multiple redditors advise tagging tax lots daily; they found exchange exports misclassify conversions if you wait until expiry.
Track basis curves versus stablecoin lending and staking rates so you know when carry still beats passive yield. Watch vesting schedules, unlock calendars, and ETF creation flows that flood spot inventory and compress premiums.
Maintain a live spreadsheet of redemption fees, staking exit delays, and funding calendars so implied yields stay honest.
Set up coordinated OMS and EMS flows so traders can leg spot, perps, and futures with one ticket. Keep collateral ladders that segment operating cash, margin buffers, and tax reserves.
Integrate treasury reporting with accounting so realized carry flows into performance decks. Automate alerts that ping tax and compliance teams when notional crosses thresholds tied to reporting or withholding.
Hold spot inventory in segregated custody with instant transfer rails back to trading venues. Negotiate term borrow with primes so recalls trigger notice periods, not overnight surprises.
Store funding, borrow quotes, lending rates, and forward curves in one warehouse with audit trails. Model scenario stress where APR shrinks by half or settlement delays by twelve hours, then alert when reality drifts toward those bands.
Blend on-chain metrics like stablecoin velocity and staking exits to anticipate demand shocks. Archive every settlement timestamp to benchmark which venues truly deliver inside the promised SLA.
Cap venue exposure so a withdrawal freeze cannot trap both legs into unwanted delivery. Maintain playbooks for forced settlement, cash conversion, and alternate hedges like options or OTC swaps.
Run post-mortems on every expiry to refine haircut buffers and tax assumptions. Run reverse stress tests assuming borrow is recalled overnight or settlement fails, then pre-plan emergency hedges.
| Approach | When it Works | Watch for |
|---|---|---|
| Quarterly future vs spot | Futures premium exceeds funding, borrow, and hedging costs | Delivery mechanics and fee changes |
| Perp hedge plus staking | Positive funding stacks with staking rewards | Validator downtime and funding crashes |
| Stablecoin collateral loop | Lenders pay above treasury rates while futures trade rich | Stablecoin depeg risk and rehypothecation clauses |
Translate the futures premium into annualized yield, subtract borrow, funding, fees, and tax, then compare against alternative uses of capital like treasuries or on-chain credit. Only deploy if the spread clears both hurdle rate and operational risk.
Maintain a settlement calendar with cut-off times, pre-authorized wallet addresses, and designated operators. Run simulations a week out to confirm inventory moves smoothly and that backup hedges exist if delivery fails.
Use integrated OMS and EMS platforms, treasury dashboards tied to custody, and reconciliation bots that stitch together exchange and prime statements within minutes.
Borrow recalls, sudden fee hikes, or settlement delays can erase carry. Mitigate by diversifying lenders, locking fee tiers, and staging release valves like OTC unwinds or options hedges.
