Risk-Free Roll-Back Strategy for the Basis Spread Between Perpetual and Futures Prices (Basis Scalping)



Logic Explanation: This strategy is different from long-term arbitrage; it focuses on the **irrational expansion** of the **next-week/quarter contract and spot price differential** during extreme volatility.

* Detailed Operations:

1. Observe the spread: When the market is in extreme panic or extreme euphoria, the quarterly contract premium (Basis) will swing sharply.

2. Entry points:

* When the market surges violently due to sudden news, the quarterly contract premium will instantly spike to an annualized 50%+.

* Action: Short the quarterly contract, and open an equal-value 1x leveraged long position in the contract account (or buy spot).

3. Harvest: Wait until the sentiment stabilizes, and when the premium reverts to a normal 10%-15%, close the positions to take profit from this “cooling effect.”
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