This is a direct reflection of the juice coming out of the basis trade.
Long ETF vs short CME futures annualised >10% at the beginning of the year vs ~5% today. This is close to risk free rate and therefore the carry trader will leave….
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This is a direct reflection of the juice coming out of the basis trade.
Long ETF vs short CME futures annualised >10% at the beginning of the year vs ~5% today. This is close to risk free rate and therefore the carry trader will leave….