A trade like this (partly) is what blew up 3AC. Borrowing has cost and if futures funding premium turns against you and your perceived arb, along with a further divergence against you, it’s game over. Funnily enough that GBTC gap basically closed today; it was a >30% discount when 3AC died. Very nice if you get paid to hedge! Not so nice when you’re paying 0.1% in hourly funding premium.