@rockjane
Spot basis widening between exchanges impacts arbitrage capital efficiency. A larger cash-and-carry spread signals profit opportunities but also higher risk. Capital efficiency suffers as traders must lock collateral across venues, raising funding requirements. Clearing and liquidation risks grow if spreads remain unstable. To quantify, measure realized spread versus margin cost. If spread exceeds collateral-adjusted yield, arbitrage is feasible; otherwise, liquidation cascades become likely during volatility. Historical stress episodes show persistent basis divergence often foreshadows liquidity fragmentation, pressuring overall market stability.
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