# Fixed yields dip around maturity, but the 24-hour trade does not pay

> Across 90 maturities the next market's fixed yield fell 0.64 points, yet a 24-hour principal-token trade netted about -5.4 bp, not distinguishable from zero, and a yield-token trade lost 166 bp.

E803 · Verdict: KILL · Cause: Below costs · Market: Crypto & DeFi · Mechanism: Forced flow · Horizon: 24h · Tested: October 2026

Source: https://alphanotfound.eu/experiments/E803-fixed-yield-maturity-rolls-principal-token

On an on-chain fixed-yield protocol, each market expires on a set date and holders who want to stay invested must move into the next market. People argue that this forced roll pushes the next market's fixed yield down, so buying its principal token (the bond-like leg) just before expiry should pay. Across 90 maturities the next market's yield did fall, by 0.64 percentage points, but the fall did not grow with the size of the roll. A 24-hour trade across the maturity was about -5.4 bp after costs, not distinguishable from zero; the yield-token trade lost 166 bp.

## Key numbers

- **Yield change around maturity:** -0.64 pts (successor market, versus a placebo date, 90 maturities)
- **24-hour principal-token trade:** -5.4 bp (net of fees, price impact and gas; CI -10.8 to +1.3)
- **Yield-token trade:** -166 bp (48 conditional trades, net of a 1% round trip)
- **Largest-roll group:** -0.35 pts (smaller fall than the smallest-roll group, -0.62)

## The idea being tested

**Belief:** When a fixed-yield market expires, holders must roll into the next market, and that forced demand pushes the next market's yield down, so buying its principal token around the roll pays.

**Why people believe it:** A principal token is bought at a discount and redeems at face value on a fixed date, so its price implies a fixed yield. When the market expires, everyone who wants to keep that fixed exposure has to buy the next market's principal token on the same dates. People argue this one-way demand bids the next token up, and its implied yield down, in a predictable window.

**Why it would persist:** People argue that the expiry dates are public months ahead but the people rolling are often passive depositors who move on or near the date, and that the markets are shallow enough for their buying to move price.

## How it was tested

For every expired market that had a later market on the same underlying asset, we measured the later market's implied yield from 4 to 5 days before expiry to the 24 hours around it, and subtracted what the same market did on a placebo date 14 days earlier. We then tested two trades: buying the later principal token 12 hours before expiry and selling 12 hours after, and, if the yield had dropped, buying the matching yield token (the leg that receives the yield) and selling 24 hours later. Results are in bp (1 bp = 0.01%). Fees, price impact and gas were charged on both.

**Pre-registered:** yes

**Data:** Hourly implied yield, underlying yield and total value locked for each event's successor market, the expired market's value locked for the roll size, and the list of Ethereum markets with expiry dates (public API of an on-chain fixed-yield protocol that splits yield-bearing tokens into principal and yield tokens with fixed maturities; 1 hour; 2023-06..2026-10)

**Universe:** Markets on Ethereum that expired between 2023-06 and 2026-10 and had a successor: the market on the same underlying asset with the nearest later expiry, created at least 7 days before the old expiry and expiring at least 14 days after it. The successor's value locked 7 days before expiry had to be at least $500k. One event per (underlying asset, expiry). 503 Ethereum markets, 448 expired in the window, 194 with a successor; 117 events passed the value filter (58 underlying assets), 90 of them with complete hourly windows for the yield test (41 underlying assets).

**Signal:** Yield change dI = mean implied yield of the successor over the 24 hours around expiry (12 hours either side) minus its mean over the window from 120 to 96 hours before expiry, minus the same difference computed 14 days earlier (placebo). Expected negative. Roll size ("dose") = expired market's value locked divided by the successor's value locked, 7 days before expiry, split into terciles.

**Execution:** Trade A: buy the successor principal token 12 hours before expiry, sell 12 hours after. Price = (1 + implied yield)^(-time to maturity in years); return is measured in excess of the implied yield accrued over one day. Trade B: only if dI was at most -0.30 percentage points, buy the successor yield token (value = 1 minus the principal-token price) 12 hours after expiry, sell 24 hours later; return includes the underlying yield earned over the day.

**Costs:** Trade A: twice the market's fee rate times the years to maturity, plus 5 bp of price impact per side and $20 of gas on a $25,000 trade (8 bp). Trade B: 1% for the round trip.

**Controls:** Placebo date 14 days before expiry for the yield change. Confidence intervals are bootstrapped over underlying assets (2,000 resamples), because events on the same asset are not independent.

**Sample split:** None; one pooled sample.

**Pass criterion:** At least 60 events from at least 15 underlying assets. Mean yield change at most -0.20 percentage points with the confidence-interval upper bound below zero, and the top-roll-size tercile below the bottom tercile. And either the principal-token trade nets at least +8 bp or the yield-token trade nets at least +150 bp, with a confidence-interval lower bound above zero.

**Kill criterion:** The yield-change interval includes zero, or both trade intervals include zero.

**Power:** The 117-event principal-token test has a confidence interval about 6 bp either side of its mean. The yield-token test has 48 events and an interval of roughly -457 to +112 bp, too wide to detect an effect of a few hundred bp.

## Result

**Why it was rejected:** Both trade confidence intervals include zero (principal token -10.8 to +1.3 bp, yield token -457 to +112 bp), and the yield change also missed the roll-size pass condition: the yield move is real but smaller than costs inside the window.

**Observations:** 117

**Net mean:** -5.4 bp

**95% interval:** -10.8 bp to +1.3 bp

**Median:** -13.2 bp

**Worst:** —

- The successor market's implied yield fell 0.64 percentage points around expiry compared with 4 to 5 days before, net of the placebo date: median -0.42, 90 events from 41 underlying assets, interval -1.09 to -0.17. The fall is a real feature of the data; 61 of the 90 events (68%) were negative.
- The fall did not grow with the size of the roll. By roll-size tercile of 30 events each: smallest -0.62, middle -0.96, largest -0.35 percentage points. The pre-set condition needed the largest tercile to fall more than the smallest.
- The 24-hour principal-token trade, 12 hours before to 12 hours after expiry, netted -5.4 bp on average over 117 events from 58 underlying assets (median -13.2 bp; interval -10.8 to +1.3 bp) after fees, price impact and gas. The pass threshold was +8 bp.
- The yield-token trade, run only on the 48 events (30 underlying assets) where the yield had fallen by at least 0.30 points, netted -166 bp on average after a 1% round-trip cost (median -220 bp; interval -457 to +112 bp). The pass threshold was +150 bp. A positive mean would have meant the yield fall partly reversed within 24 hours; it did not.

### The successor's yield falls around expiry (percentage points of yield)

Change in the successor market's implied yield around expiry, relative to 4 to 5 days before and net of a placebo date 14 days earlier. The interval excludes zero, so the effect is real in this sample; the next chart shows it does not scale with roll size.

|   | Mean | 95% low | 95% high |
| --- | --- | --- | --- |
| All events (90) | -0.64 | -1.09 | -0.17 |

### A bigger roll does not mean a bigger fall (percentage points of yield)

Mean yield change by roll size (expired market's value locked relative to the successor's), 30 events per group. If forced demand drove the fall, the right bar would be the longest. It is the shortest.

|   | Mean yield change |
| --- | --- |
| Smallest rolls | -0.62 |
| Middle | -0.96 |
| Largest rolls | -0.35 |

### The 24-hour principal-token trade after costs (bp)

Net return of buying the successor principal token 12 hours before expiry and selling 12 hours after, 117 events. The interval straddles zero and the mean sits well below the +8 bp pass line.

|   | Mean | 95% low | 95% high |
| --- | --- | --- | --- |
| Net of fees, impact and gas | -5.4 | -10.8 | 1.3 |

## Interpretation

**Why it failed (interpretation, not established):** The yield does move around maturity, by about 0.6 percentage points. On a token with roughly a quarter of a year left, that is about 10 to 20 bp of price, a reading that was not measured separately. Timing within the days around expiry was not measured, and no multi-day version was tested, so no claim is made about one. Inside the 24-hour window the trade did not beat the fees, price impact and gas of getting in and out. The lack of a roll-size gradient suggests the fall is not simply forced roll demand, although this test cannot say what else drives it. The yield-token trade assumed the move would partly reverse within a day and it did not.

**Lesson:** A visible, statistically clear price move can still be smaller than the cost of trading it.

**Scope:** Covers Ethereum markets of one fixed-yield protocol with a successor and at least $500k of value locked, expiries 2023-06 to 2026-10, one trade size ($25,000) and a 24-hour window around expiry.

## Reproducibility

**Steps:** 1) List all Ethereum markets of the protocol with expiry, underlying asset and creation date from its public API. 2) For each expired market from 2023-06 to 2026-10, find the successor (same underlying, nearest later expiry, created at least 7 days before and expiring at least 14 days after), keep it if its value locked 7 days before expiry is at least $500k, one event per (asset, expiry). 3) Pull the successor's hourly implied yield, underlying yield and value locked from 20 days before to 2 days after expiry. 4) Compute the change in the successor's implied yield (24 hours around expiry minus 120 to 96 hours before) against that window and the 14-day placebo, and the roll-size terciles. 5) Price the principal token as (1 + implied yield)^(-years to maturity) and compute the 24-hour trade net of the stated costs; add the conditional yield-token trade. 6) Bootstrap by underlying asset.

**Grade:** COMPLETE

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AI-generated research, checked but not peer-reviewed. Historical, experimental research, not investment advice. Dataset Terms of Use: https://alphanotfound.eu/terms