TL;DR
- Bitcoin futures carry reached 7.89% on August 7, exceeding the 4.19% two-year Treasury yield.
- US spot Bitcoin ETFs attracted $865 million during the week, with BlackRock’s IBIT accounting for roughly 80% of inflows.
- The spread offers institutions another reason to consider Bitcoin-based strategies, although financing, margin requirements, and trading fees can reduce the final return.
Bitcoin carry trade returns have moved above short-term US government yields, giving institutional investors another reason to examine Bitcoin as a source of market-neutral income. On August 7, annualized carry on CME Bitcoin futures ranged from 5.69% to 7.89%, compared with a 4.19% yield on two-year Treasury notes.
The difference matters because the strategy does not depend on Bitcoin rising. Traders can purchase spot BTC while simultaneously shorting futures, capturing the premium when the contracts converge toward the underlying price. That structure gives professional investors a way to seek crypto returns while limiting direct exposure to Bitcoin’s daily price swings.
U.S. TREASURY YIELDS SET TO EASE
A Reuters poll sees Treasury yields declining over the next year.
10-Year Yield:
• 3 months: 4.50%
• 6 months: 4.50%
• 12 months: 4.34%
2-Year Yield:
• 3 months: 4.07%
• 6 months: 3.92%
• 12 months: 3.80%However, 18 of 22 bond…
— *Walter Bloomberg (@DeItaone) August 11, 2026
Bitcoin Carry Trade Gains An Institutional Edge
The strongest reading came from the August contract. Against a CME New York spot benchmark of $64,880, the contract settled at $65,175, producing an annualized carry of 7.89%. September contracts offered 6.25%, while December contracts stood at 5.69%.
That premium compares favorably with short-term government debt, particularly as Treasury yields remain elevated. The two-year Treasury stood at 4.19% on August 7, while the ten-year yield remained around 4.65%. Longer maturities also continue to reflect investor concerns about federal borrowing and the supply of new debt.
For crypto markets, the shift is significant because it shows Bitcoin can generate an institutional return stream beyond simple price appreciation. Research published in 2026 also points to persistent differences between Bitcoin futures and ETF markets, with margin and collateral structures limiting arbitrage efficiency.
ETF Inflows Strengthen The Bitcoin Rotation
Capital is also moving into the spot market. US spot Bitcoin ETFs recorded $865 million in net inflows during the week ending August 7, with BlackRock’s IBIT attracting about $694 million, or roughly 80% of the total.
The combination of ETF demand and elevated futures premiums creates a more mature environment for institutional Bitcoin strategies. However, the headline yield is not a guaranteed return. Financing costs, collateral requirements, margin, execution expenses, and fees can materially reduce the net spread captured by arbitrage desks.
