Research noteEF-2026-0336
The basis trade is crowded again
Compressed spreads with elevated open interest is a familiar and uncomfortable combination.
7.2%▼ −2.6ppannualised basis, three-month
5 minWall Street & RWA
Annualised basis has compressed while open interest has risen, meaning more capital is chasing a thinner spread. Unwinds in this configuration have historically been fast.
The trade is not unsound. It is simply crowded, and crowding is a liquidity risk rather than a valuation one.