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Crypto Carry Dynamics: Crypto futures carry (the difference between futures and spot prices) is large (up to 60% p.a.), persistent, and varies significantly over time. It is primarily driven by fluctuations in a volatile crypto convenience yield, attributed to trend-chasing behavior from smaller investors and limited supply of arbitrage capital.

Economic Drivers: The convenience yield stems from two main forces: (i) investor demand for leveraged exposure during boom periods, fueled by media attention and past crypto returns; and (ii) scarcity of arbitrage capital, due to high margin risks and liquidation fears in cash-and-carry strategies, especially on regulated exchanges like the CME.

Market Implications: High carry predicts future spot and futures price declines, associated with increased crash risk. It correlates with elevated volatility in crypto markets, leading to boom-bust cycles, as trend-chasing demand drives up basis, while arbitrageurs are deterred by risks like forced liquidations.

Arbitrage Limitations: Cash-and-carry strategies are risky due to margin friction issues, such as non-cross-margining and leverage constraints. Sharpe Ratios on these strategies are modest (around 0.5-0.6 p.a.), limiting capital deployment, which contributes to persistent carry levels.

Crash Risk and Policy: Crypto carry serves as a predictor for crash risk, evident in option markets through increased demand for downside protection. This highlights the interconnectedness of market sentiment, leverage, and potential systemic risks.

Conclusion: Crypto markets' carry dynamics reflect heterogeneity in investor behavior and arbitrage constraints, contributing to volatility and crash proneness, offering insights for future economic analysis and risk management.