Important Notice
This document is for business presentation and informational purposes only and does not constitute investment advice. All strategies involve market risk; cryptocurrency prices are highly volatile. Investors should make independent decisions based on their own risk tolerance.
Objective: Stay as market-neutral as possible while harvesting funding/basis/carry; use options to cap drawdowns when going on offense; prefer coin-margined contracts and low-cost borrowing.
Account assumptions:
- Holdings: 5 BTC; Price: 113,000 USDT; Total ≈ 565,000 USDT
- LTV: 45% → Borrowable ≈ 254,250 USDT
- Fees: Spot maker 0.08% / taker 0.1%; Futures maker 0.012% / taker 0.04%
- USDT flexible savings: 10% annualized
- All examples assume maker execution; using taker will slightly reduce returns
A) Perpetual funding-rate arbitrage (spot long + perp short, collect positive funding)
- Core: When funding is positive (longs pay, shorts receive), build equal notional “spot long + perp short” to collect funding; directional delta ≈ 0.
- Funding paths (under segregated accounts)
- Preferred: Borrow BTC at 0.1% for the spot leg; short Coin-M perps with BTC as margin (no USDT needed)
- Optional: Borrow USDT at 4% to buy spot; short USDT-M perps (requires USDT margin)
- 30-day case (notional ≈ 254,250 ≈ 2.25 BTC; funding 0.01%/8h × 3 × 30)
- Funding income ≈ 2,288
- Fees (maker open + close) ≈ 61
- BTC borrow cost ≈ 21 → Monthly net ≈ 2,206 USDT
- If borrowing USDT: minus monthly interest ≈ 847.5 → Monthly net ≈ 2,288 − 61 − 847.5 ≈ 1,379.5
- Risk control: If funding collapses or turns negative, reduce or flip to “spot short + perp long”; keep ample margin buffer to avoid forced reductions.
B) Spot/Quarterly basis arbitrage + Perp-Quarter swap
- Play 1 (classic): Long spot, short quarterly (near/next) → harvest positive basis mean reversion (see Standard edition “Basis”).
- Play 2 (swap): Hedge the two legs when basis vs funding are mispriced
- If quarterly basis annualized > perp funding annualized: go “perp long, quarterly short”
- If funding annualized > quarterly basis annualized: go “perp short, quarterly long”
- Example (quarterly basis ≈ 2.21%/quarter; recent 7-day avg funding ≈ 0.002%/8h ≈ 2.2%/year)
- Quarterly gross spread for “perp long / quarterly short” ≈ 2.21% − 0.55% (funding annualized to a quarter) ≈ 1.66%
- On 254,250 notional: gross ≈ 4,227; still attractive net of maker fees/slippage
- Ops notes: Entry threshold = (annualized basis or funding differential) > fees + slippage + financing; stagger rolls near expiry to reduce impact.
C) Synthetic low-cost USDT (financing alternative; better if <4%)
- Core: Use “borrow BTC 0.1% + hedge long (perp or quarterly)” to synthesize USDT financing, pushing effective cost below 4%, then deploy to 10% flexible savings/other strategies.
- Steps
1) Borrow BTC (0.1%) → sell spot to obtain USDT
2) Hedge directional risk: go long equal notional quarterly or perp (Coin-M or USDT-M)
- Cost estimate
- Effective ≈ BTC borrow (0.1%) + hedge leg’s implied rate (quarterly basis annualized or perp funding annualized) + fees
- Example: quarterly implied ≈ 3% → effective ≈ 3.1% < 4% → ~0.9%/yr cheaper than direct USDT borrow
- Risk: If basis widens or funding rises, exit promptly; avoid effective cost exceeding 4%.
D) Leveraged long + protective put (bullish: convex returns, capped risk)
- Steps: Borrow USDT 4% to reach ≤1× leverage on the long; buy a put (K = 105,000, tenor 1–2 months).
- Case (add ≈ 2.25 BTC at 113,000)
- At 130,000: long PnL ≈ 38,250; minus premium ≈ 2,000 and monthly interest ≈ 847.5 → expected net ≈ 35,402.5
- At 100,000: long loss ≈ 29,250; put gain ≈ 11,250 → net loss (ex interest/premium) ≈ 18,000; tail risk materially limited
- Details: Premiums are richer at high IV; prefer to add hedges when IV retreats; scale out around 125,000–130,000.
E) Cross-asset relative value (Market-Neutral Pair)
- Core: Long the stronger asset (e.g., ETH), short the weaker (e.g., BTC), earn relative outperformance; target β-neutrality.
- Case (notional 254,250; 1M ETH vs BTC +8%)
- Gross ≈ 20,340; assume total costs ≈ 2,500 → Monthly net ≈ 17,840
- Funding path: Prefer BTC 0.1% borrowing to cover margin/build hedge legs; prefer Coin-M contracts.
- Risk: Volatility-weighted sizing; ETH/BTC ratio stop-outs/take-profits; monitor funding on both legs.
F) Options volatility strategies (two paths)
- Gamma scalping (buy straddle when IV is low)
- Buy ATM Call + Put (1M), dynamically delta-hedge with small futures; if realized vol > implied, harvest the spread
- Funding: USDT 4% (for premium) or BTC as options margin (if supported)
- Covered call yield (range/slow bull)
- Hold/borrow BTC (0.1%) → sell OTM calls to earn premium; steadily lift annualized return
- Risk: Opportunity cost if price rips; roll up strikes as needed
- Risk control: Size and gamma discipline; reduce net short-vol before major events (data/news).
Professional edition suggested mix (example)
- 35% Funding-rate arbitrage (borrow BTC + Coin-M preferred)
- 25% Basis/swap (diversify near/next quarters)
- 20% Synthetic low-cost USDT → redeploy to flexible/short-term plays
- 10% Cross-asset relative value
- 10% Options (protection or vol strategies)
Goal: Maintain “floor yield” across regimes while preserving upside optionality.
Execution & risk consensus
- Financing priority: BTC 0.1% ≫ ETH 2% ≫ USDT 4% (use low-cost coins when possible)
- Contract priority: Coin-M first (BTC as margin reduces USDT usage); USDT-M requires separate USDT margin
- LTV: ≤45%, keep ≥10% buffer; in high vol, de-lever first
- Execution: post-only (maker) preferred; avoid high-vol/data windows; scale orders
- Entry threshold: annualized basis/funding must cover “financing + fees + slippage”
- Operational risks: API/maintenance, borrow limits/recall; diversify maturities/instruments
- Compliance/tax: follow local regulations
Trade on the go with HTX App (iOS/Android)
Sign up for an HTX account to get special rewards!
Refer friends to win up to 1,500 USDT and 30% of their trading fees
Enable Trading Bots to Start Earning Automatically
Find us on
Twitter:
https://twitter.com/htxfutures
Facebook: https://www.facebook.com/htxglobalofficial/
Instagram: https://www.instagram.com/htxglobalofficial/
Reddit: https://www.reddit.com/r/HuobiGlobal/
Medium: https://htxofficial.medium.com/
Telegram:
https://t.me/htxglobalofficial
https://t.me/htxglobalofficial_2
https://t.me/HTXGlobalAnnouncementChannel
Discord：
https://discord.gg/htx-official
HTX reserves the right in its sole discretion to amend or change or cancel this announcement at any time and for any reasons without prior notice. The above is for information purposes only and HTX makes no recommendations or guarantees in respect of any virtual asset, product, or promotion on HTX. Prices of virtual assets are highly volatile and trading virtual assets involves risk. Please read our Risk Reminder text here.
