Carry of 0.0455% every eight hours against a 22.01% week at the 52-week high
Should a basis trader keep the equal perpetual short at full size to collect funding, or cut it so the short leg can survive another 9.46% day at the high?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 26 February 2024, BTC rose 22.01% to close 63,113.97, at its 52-week high (0.0% below), with a 25.73% range from 50,901.44 to 64,000.00. The best day gained 9.46% on Wednesday 28 February, the largest hour 2.37%, and the week sat in the 98th percentile of 315 weeks. Perpetual funding averaged 0.0455% per eight hours, peaking at 0.0763%, on volume 1.98 times the prior twelve weeks. An illustrative basis trader holds spot BTC and an equal short in the perpetual; the short leg has absorbed a 22.01% rise while collecting only thin carry.
Judgment
The position is price-hedged but not margin-hedged: the short leg alone must fund a day like Wednesday's 9.46% rise and a 93.2% close-location week that ended near the top. Cut the position to a size the short can carry through one repeat of the best day without forced covering, and keep the spot leg where it can meet that margin quickly. Accept lower funding income; 0.0455% per eight hours does not compensate a short held at full size into a 98th-percentile week.
What would change it
Restore size if funding holds near its 0.0763% eight-hour peak across several periods while annualised realised volatility falls well below 62.2%, or if price closes back below the week's open of 51,728.85, which ends the short leg's adverse run. If funding turns negative, the trade pays to be flat.
What sets this case apart
The question is not whether the hedge is neutral in price, but whether the short leg's margin survives the single best day of a 98th-percentile week closing at the 52-week high.