Collecting 0.0186% per eight hours on a short leg that rode a 26.17% weekly range
Should the basis trader keep the short perpetual leg at full size to keep collecting funding, or cut it to the margin it would need if price repeated Saturday's 179.50 high?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 13 January 2020, ETH rose 13.80% from 146.56 to 166.79, with a 26.17% range between the 142.27 low (Monday 06:00 UTC) and the 179.50 high (Saturday 14:00 UTC), a 91.9% annualised realised volatility, and volume 1.95 times its prior 12-week average. Perpetual funding averaged 0.0186% per eight hours, peaking at 0.0447%. An illustrative basis trader holds spot ETH and an equal short in the perpetual, so the short leg carried the full rise from the low to the high on its own margin.
Judgment
The funding income is real but small: 0.0186% per eight hours against a weekly range of 26.17% and a 13.80% advance that moved against the short leg. Keep the hedge, but size the short to a margin that absorbs a repeat of Saturday's 179.50 high and of Sunday's -4.41% hour without liquidation, and keep the spot leg liquid to meet that margin. Treat the funding as carry that can vanish, not as the trade's return.
What would change it
If funding sustains near its 0.0447% eight-hour peak for several weeks, the size limit can be relaxed. If funding turns negative or if realised volatility stays near 91.9% while funding drifts towards its 0.01% minimum, close the short leg.
What sets this case apart
A hedged position can still fail on margin; here the risk is that the short leg must survive a 90th-percentile week, not that ETH's direction is wrong.