Funding Rate Arbitrage

One of the features of the cryptocurrency market is the presence of perpetual futures contracts. For their connection with the underlying asset, such a mechanism as the payment of the funding rate every 8 hours is used. The main idea of ​​the strategy is to receive payments at the funding rate. Also, the strategy allows you to save the value of assets in USD without resorting to the use of stablecoins. The strategy is described using BTC as an example. Implementation is possible on any asset for which there are:
  • the possibility of buying on the spot section of the crypto-exchange;
  • perpetual, inverse, coin-margined, futures contracts and the funding rate paid on them;
  • call and put options/put options or volatility futures contracts.

The strategy includes:
  • Description of the Fuding Rate entity
  • Quantitative research on the topic Fuding Rate
  • Description of risks and trading costs and means of their optimization
  • Detailed implementation instructions

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