BitMex Funding Rate Arbitrage
Actually, there’s no arbitrage. This 50% funding rate anomaly is just the result of the simplistic pricing algorithm they used, which generates a convoluted payout. That is, as a crypto exchange, everything is denominated in BTC, but their ETH perpetual swap references the USD price of ETH. This generates the following USD return:
- ETHswap USD return=[1+ret(BTC)]*ret(ETH)
- E{ETHswap USD return}=covariance(ret(ETH),ret(BTC))=ρb,eσbσe
Source: http://falkenblog.blogspot.com/2020/02/bitmex-funding-rate-arbitrage.html
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