{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T18:29:28Z","timestamp":1786732168518,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Using 18 months of hourly data on Hyperliquid and Binance perpetual contracts for BTC, ETH, SOL, DOGE, and AVAX, I show that the perpetual-spot basis predicts Binance perpetual realized volatility. In the pooled cross-coin specification with structural break controls, the absolute basis significantly predicts forward volatility at all three horizons (h = 1, 8, 24; t = 2.04, 4.44, 4.72). Percoin estimates show BTC's coefficient is essentially zero, consistent with limits-to-arbitrage frictions absent at the most-liquid coin; the four other coins all show positive coefficients, with individual significance for SOL and DOGE. Out-of-sample testing produces statistically significant forecast improvements against a simple lagged-volatility benchmark but not against the more demanding HAR-RV benchmark.<\/jats:p>","DOI":"10.2139\/ssrn.6697060","type":"posted-content","created":{"date-parts":[[2026,5,2]],"date-time":"2026-05-02T22:16:33Z","timestamp":1777760193000},"source":"Crossref","is-referenced-by-count":0,"title":["The Information Content of Perpetual Basis"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T17:39:36Z","timestamp":1786729176000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6697060"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6697060","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}