Show description: Research finds futures contracts on major venues traded at an average premium to spot of roughly 7 percent annualized from 2019 through 2024. The basis behaved as a market-segmentation signal driven by differing pools of demand, leverage rules, and venue microstructure rather than a classical model-driven cost of carry. The basis widened during retail-driven bull runs and compressed after liquidation events, with perpetual swaps and quarterly futures showing different dynamics due to funding cadence and contract structure. Regulated venues such as the CME exhibited lower and less volatile basis levels, while crypto-native exchanges with higher allowable leverage and looser margin regimes showed larger and more variable premiums, indicating segmentation between institutional capital and smaller levered retail flows. Expansion of access via lower minimum contract sizes and micro futures correlated with increases in the basis. Fundamental factors including policy rates, volatility, and stablecoin funding explained part of cross-venue variation, while a substantial residual aligned with arbitrage capacity limits and operational costs such as KYC, capital controls, custody limits, transfer delays, and differing haircut regimes. Cash-and-carry arbitrage often proved unscalable in practice because funding, margin, and settlement frictions increased costs and slowed cross-market execution. Carry strategies produced positive average premiums but exposed allocators to funding liquidity risk and mark-to-market swings that created asymmetric drawdowns when margin calls, credit retractions, or haircut increases occurred. Empirical work documented venue-level distortions including thin liquidity, weak surveillance, wash-trading patterns, and price pushes by participants with cheaper funding that amplified basis levels on some venues. Policy prescriptions included harmonizing margin, collateral, and custody rules, broadening standardized access to regulated derivatives, and improving cross-market settlement and clearing to reduce frictions. Trading recommendations included treating the basis as a time-varying compensated risk, sizing positions to survive sudden basis spikes, precommitting de-risk thresholds, optimizing collateral across rails, diversifying funding lines, preferring venues with reliable margin and settlement mechanics, stress testing for historical basis blowouts including tightened credit and transfer delays, and building financing optionality with multiple lenders. Key metrics to monitor included cross-venue basis spreads and their stress correlations, term structure and perp funding rates, futures open interest by account size, roll slippage across venues, and stablecoin issuance and redemption activity. Near-term expectations included incremental policy harmonization, improved prime-brokerage services, and broader regulated retail access that may compress the gap over time while operational and cross-border settlement frictions persist. 

Source: https://web3businessnews.com/crypto/crypto-carry-market-segmentation/

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