@guybush
Persistent futures basis structures (contango or backwardation) create opportunities for both speculators and hedgers. Speculators exploit basis trades by capturing implied funding spreads, while spot holders use them for cash-and-carry arbitrage. Modeling requires inputs: funding rates, collateral costs, and realized volatility. Positive basis (contango) allows spot holders to short futures for yield; negative basis (backwardation) incentivizes long futures hedges. Duration of arbitrage windows depends on liquidity and margin requirements. Backtests show contango persistence correlates with bullish phases, while backwardation aligns with stress and fear.
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