They would be arbed away anyway if this were not the casehttps://twitter.com/ALBACapMgmt/status/1475357374147817477 …
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The reverse arb is more constrained cos it can be hard to short. And you can see the cos the basis appears to be even less bound on the downside, which makes sense. I reckon basis mostly a function of: - lopsided end user demand - arb "murkiness"
Here’s a bunch of questions about basis and funding rates that I’d love to have the answers to. 1. Common sense says that futures premiums should be roughly the same as expected funding rates over the lifetime of the future, but historically they have been much lower (so that
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short perp/long futures has generally been profitable — why?) 2. Funding rates and premiums can be persistently quite different across different exchanges. What are the main drivers of this? 3. How does options hedger demand affect funding rates and futures premiums? (eg
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funding rates for ETH at deribit spiked recently compared to other exchanges — is that because of option hedger activity?)
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