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Some random thoughts from a stranger on the Internet:
- The spot-perp difference is expressed as the funding rate (which is the way how perpetual swaps are pegged to the underlying, more long perp => positive funding => longs pay shorts => less longs, except in extra-speculative bullrun like recently). This mechanism has been working so far, because people are successfully massively arbing it!
- Binance has funding rate settlement every 8h, IF you had a constant 0.085%ROI, compounded 3x/day, you would end up with [insert LOT of digits]%/y. In practice, the funding is left-skewed, but not centered on that high value tho :/
(see https://www.theblockcrypto.com/data/crypto-markets/futures/btc-funding-rates for mean apy values)
- It's basically doing a basis arb (long basis, to be precise), an interest rate arb with a variable rate (you play the yield). Arthur Hayes described it as the "NakaDollar floating rate bond" (see https://blog.bitmex.com/all-aboard/ he has been trading it since 2013, successfully is an under-statement)
-"There's a chance of losing everything": long spot/short future, if you don't leverage it, you're fully collat! You're not long crypto, you're literally delta-neutral
- Why such arb still exists (in a not-so efficient market - see https://www.sciencedirect.com/science/article/pii/S2214845020300673 for another piece of your "not sot" argument) ? Because of dollar-value (see Arthur Hayes post supra)
-Opportunity cost? Indeed, it can be quite huge, guess it's a risk-profile discussion from there
-Comparing to staking : staking is cool, but, in terms of $, NOT delta neutral (you're long eth!) - if the market tanks, your 12%APY in eth can be worthless (on nakadollar bonds, even if the settlement is most of the time in btc/eth/whatever, your ROI is in $, hence the name).
Ofc, dollar-value/inflation comes again into play then...
Same for low liq on the spot leg (had the painful experience recently with tokenized stocks on FTX), you end up loosing a lot of %PA with slippage...