After experiencing a round of violent rise since January, Bitcoin has now risen from $7,000 to above $10,000, and many market participants are holding coins to make profits. At the same time, we observed that the previous very strong rise made the long-short ratio rise to around 2.0, and the long-term sentiment was strong, which also led to the high funding rate of the perpetual contract.
OKEX Investment Research sorted out the funding rate data of BTC, ETH and BCH in the OKEX platform perpetual contract from January 1 to February 10. The data shows that during these 41 trading days, the accumulated BTC funding rate income The return rate of ETH reached 3.824%, the rate of return of ETH reached 3.667%, and that of BCH reached 4.539%. The difference in funding rates is small.
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Figure 2: OKEX BTC/ETH/BCH Perpetual Contract Single Funding Rate Yield 1/1 – 2/10
Figure 2: OKEX BTC/ETH/BCH Perpetual Contract Single Funding Rate Yield 1/1 – 2/10
Funding fee = contract fund * funding rate (funding fee is calculated by contract funds, not margin)
Funding fee = contract fund * funding rate (funding fee is calculated by contract funds, not margin)
Operation method: For the convenience of calculation, we assume that the funding rate is 0.1% every 8 hours, the amount of funds is $12000 USDT, and the position is opened through the USDT contract, and the profit and loss are settled in USDT. Directly use 5 times leverage to short a certain currency contract with a contract value of $10,000 USDT. In order to hedge the risk, buy the corresponding currency worth $10,000 USDT in the currency trading area. If the price rises rapidly, you can sell a part of the spot to supplement the margin.
Arbitrage result: Earn 0.1% funding rate every 8 hours, $10000*0.1%=$10, that is, the daily charging rate is $30, which is converted into a daily interest rate of 0.25%. The rate of return is also subtracted from the fee for opening and closing positions included in it.
In fact, under the current market conditions, there are many times when the single-time funding rate is higher than 0.1%, but it is rare to be able to maintain the rate at 0.1% for several consecutive settlement cycles. It is around 0.1% to 0.2%, but if converted into an annualized rate of return, it is already very high. In actual operation, you can combine the actual funding rates of each currency to choose a higher rate for arbitrage.
In fact, under the current market conditions, there are many times when the single-time funding rate is higher than 0.1%, but it is rare to be able to maintain the rate at 0.1% for several consecutive settlement cycles. It is around 0.1% to 0.2%, but if converted into an annualized rate of return, it is already very high. In actual operation, you can combine the actual funding rates of each currency to choose a higher rate for arbitrage.If you want to use your funds more efficiently, you can borrow money through the platform. You can refer to OKEx Research's previous article "image description
Figure 3: The leverage rate of each currency on the OKEX platform on February 11
Figure 3: The leverage rate of each currency on the OKEX platform on February 11Futures and cash arbitrage strategy research report》。
The arbitrage method mentioned above is more suitable for traders who pursue "absolute returns". It is also a very good strategy to accumulate their own returns with minimal risk in the rapidly changing financial market.
