Ethena: The arbitrage opportunities between futures and spot prices for gold are greater than those for BTC and ETH

Odaily reported that Ethena's official account on X released an arbitrage analysis of the perpetual contract markets for gold tokens (PAXG, XAUT). 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 for BTC and ETH during the same period (5.2% and 4.1%, respectively). Daily volatility of gold funding rates is higher than those of cryptocurrencies, which is due to the lower trading volumes in the market. However, gold funding rates were positive for 82% to 89% of the time, which is almost identical to BTC (88%) and ETH (85%).

In addition, Ethena stated that funding rates for gold and cryptocurrencies are almost uncorrelated. When the funding rates for cryptocurrencies are compressed, the funding rate for gold often remains stable or increases. Therefore, including gold perpetual contracts in spot-futures arbitrage strategies (holding spot and equivalent short positions simultaneously) will increase yield levels and reduce yield volatility.