Solana futures are so mispriced, arbitrageurs are earning 23% yields
Futures contracts for Solana (SOL) are so mispriced that arbitrageurs are earning annualized interest rates of 23% on exchanges with institutional credibility and millions of dollars worth of available liquidity. Yesterday, monthly CME futures contracts for SOL expiring in October were trading at a 2.8% premium to spot. That created a substantial yield for a two-legged trade that could have conservatively achieved a USD denominated annualized yield of 23%. The specific type of mispricing is contango — an anomaly when the futures price of an asset is higher than the expected spot price at contract expiration. To illustrate this, consider the simultaneous prices of SOL futures and spot SOL on the CME in October that one arbitrageur captured yesterday: $237.60 and $230.97, respectively . If an arbitrageur was indifferent to the price of SOL and simply wanted to lock in a market-neutral, USD-denominated yield, they could have shorted October futures contracts an...