Tuesday was a rough day for the crypto market, as bitcoin (BTC) fell to three-month lows below $87,000, dragging the broader market down. More importantly, investors withdrew funds from U.S.-listed spot bitcoin exchange-traded funds (ETF) at an unprecedented rate.

The 11 spot ETFs registered a cumulative net outflow of $937.78 million, the most significant single-day redemption since the funds began trading in January 2024, according to veri tracked by SoSoValue.

Fidelity’s FBTC saw the most outflow, totaling $344.65 million, followed by $164.37 million in redemptions from BlackRock’s IBIT. The remaining funds registered outflows of less than $100 million each.

The weakening appetite for these ETFs could be attributed to the decline in the premium in the CME-listed bitcoin futures, which has dented the appeal of the cash and carry arbitrage. Moreover, these BTC and ETH carry trades now offer barely more than the U.S. 10-year Treasury note, which offered a yield of 4.32% at press time.

The strategy, heavily favored by institutions since early last year, involves buying the spot ETF and simultaneously selling the CME futures to pocket the premium while bypassing the price direction risks.

According to Velo Veri, the annualized one-month basis (premium) in the CME bitcoin futures dropped to 4% Tuesday, the lowest in nearly two years, and down significantly from almost 15% in December. In other words, the yield available on the cash and carry strategy has declined dramatically in two months.

The basis in ether futures has also declined sharply to around 5%. The spot ether ETFs listed in the U.S. witnessed a total outflow of $50 million Tuesday.