// BOROS CARRY — BTC
VOL CONTRACTING · vol 45% · MEDIUMSIDESHORT YU-BTC-26JUN2026
BOROS FIXED APR4.95%(you receive at maturity)
HL FLOATING APR3.84%(you pay)
BID/ASK SPREAD13 bps
GROSS EDGE APR+111 bps
SETTLE FEE DRAG-10 bps
NET CARRY EDGE+101 bps
// bot ref: 300 bps · not advice
BREAK-EVEN~36.4h (open+close)
// MARKET REGIME
VOL REGIMECONTRACTING (ratio 0.61)
ABSOLUTE VOL (24h)45%
STRESS PROXYno stress · OI +2% · funding 0.4× · premium -4 bps
// AT-RISK: Margined position — mark-to-market + liquidation risk on both legs · Floating can rise above fixed; the displayed edge holds only while floating stays below fixed · wBTC collateral on the BTC market — BitGo custody / depeg risk
