KILLED · already arbitraged
Hypothesis
The perpetual trades at a basis to spot that must converge via funding; entering when the basis is wide and holding to convergence is a low-risk trade.
Math — basis & no-arbitrage
Basis is the perp–spot gap, pinned by the funding mechanism:
$$ b_t = \frac{P^{perp}_t - P^{spot}_t}{P^{spot}_t} $$
Method
Enter delta-neutral when $|b_t|$ exceeds a threshold, exit on convergence. Sub-second snapshots across 3 venues, full fees.
Results
| Median basis | < 3 bps |
| Episodes with basis > round-trip cost | rare, <0.4% |
| Net EV | ≈ 0 |
The basis is already arbitraged to within fees by faster players almost continuously. Wide-enough dislocations to cover two-sided cost appear only in violent moments — exactly when execution is worst. No durable retail edge.
If a no-arbitrage relationship is enforced by a funding mechanism, the residual is competed down to the fastest participant’s cost. Yours is higher.