Spot Futures Arbitrage

Definition

In Spot/Futures arbitrage, the investor will:

• Buy in the Spot Market (and likely stake the coins), and sell Perpetual Futures

• Buy Perpetual Futures, and sell in the Spot Market (via loans)

How Coinsight Can Help

• Identifying an opportunity

  • Get current data for multiple lending markets in a single view

  • Get historical data for lending markets to see if the strategy is feasible in the long term

Analysis and Examples

In the period analyzed, the interest rate on Gate.io for the following coins: DOT, KSM, FLM, GLMR, ATOM, CRV, CVX, was the default rate (paying 10.95% a year to short sellers). This is a huge arbitrage opportunity because all these coins allow on-chain staking for double digit rewards. So a user that buys the coins to stake, while selling futures contracts, would be on one side paid to stake the coin, and on the other side be paid to short the future, with no market exposure.

As of now, staking CRV can earn up to 37% APR on Yearn. At current rates with $120 dollars, a user could buy $100 CRV to stake and use $20 as margin for the short. They would earn $37 per year on the stake, and $10 per year on the short, without exposure to the market (but with platform risks and gas fees), with an annualized return of 39% a year.