Basis-trade

The three-month annualised futures basis has fallen to roughly 3 per cent, below two-year Treasury yields, ending the market-neutral position that kept leveraged funds structurally short for years.

The only comparable stretch on record ran from August 2022 into January 2023 and ended at the cycle low. Futures volume in July was just over $880 million against a February peak of $1.47 trillion.