Ethena: Gold's futures-spot arbitrage spread is larger than BTC and ETH

Odaily Planet Daily News, Ethena official published an analysis of the arbitrage opportunities in the gold token (PAXG, XAUT) perpetual contract market on X. Data shows that over the past twelve months, the annualized funding rate for PAXG was 5.8%, and for XAUT was 12.4%, both significantly higher than the average levels of BTC and ETH during the same period (5.2% and 4.1% respectively). The daily volatility of gold funding rates is higher than that of cryptocurrencies due to smaller market trading volumes, but gold funding rates have been positive 82% to 89% of the time, which is largely consistent with BTC (88%) and ETH (85%).

Additionally, Ethena stated that the funding rates for gold and cryptocurrencies are almost uncorrelated; when cryptocurrency funding rates are compressed, gold funding rates tend to remain stable or rise. Therefore, incorporating gold perpetual contracts into a futures-spot arbitrage portfolio (simultaneously holding spot and equal short positions) will improve yield levels and reduce yield volatility.