Does the Presence of an Arbitrage Opportunity Affect the Basis?

Yes, the presence of an arbitrage opportunity directly affects the basis. Arbitrageurs exploit the difference between the spot price and the futures price when the basis deviates significantly from the theoretical cost of carry.

Their trading activity (buying the cheaper asset and selling the dearer one) forces the two prices back into alignment, ensuring that the basis remains within a narrow, theoretically justified band.