0xResearch Forecasting Crypto Market Regimes
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Feb 6, 2026 A deep dive into on-chain yield curves and how Pendle V2 expirations reveal implied yields. A look at contango versus backwardation and their links to short-term Bitcoin returns. Discussion of why sUSDe became the dominant term structure and how money market composition drives funding volatility. A preview of Boros and other venues that could reshape on-chain rate markets.
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Term Spread Predicts Bitcoin Skew
- Large negative term spreads (backwardation) indicate the market expects declining yields and have coincided with poor Bitcoin returns.
- Positive spreads (contango) imply rising yields and have historically aligned with stronger forward Bitcoin returns.
Use Curve As Risk-Timing Tool
- Use the term structure as a risk-timing tool rather than a binary trade signal.
- Focus on tail observations where backwardation or contango provides the strongest actionable information.
Back Month Signals Mean Reversion
- The back month often points to mean reversion: contango appears in low-yield regimes and backwardation in high-yield regimes.
- There is a strong inverse relation between term spread and the underlying APY (R^2 ~ 0.6).