We document that the carry of crypto futures, i.e. the dierence between futures and spot prices, can become very large (up to 60% p.a.) and varies strongly over time. This behavior is most consistent with the existence of a highly volatile crypto convenience yield that stems from two main forces: (i) trend-chasing and attention by smaller investors seeking leveraged upside exposure to crypto assets in boom periods, and (ii) the relative scarcity of \arbitrage" capital taking the other side through a cash and carry position.

Engaging in the latter is risky due to spikes in margins and liquidations amid drawdowns.

The interplay between these two forces, and the involved high leverage, may help explain why severe market crashes are a frequent feature of crypto markets.