Two weeks ago (For a Few Bitcoin More), we presented a Bitcoin cash & carry trade.
As promised we aim to update our trade ideas regularly and keep you posted with relevant information.
Trade recap from 22nd June (tade of date initiation)
- Short 2 lots of the July 2020 ICE BAKKT Bitcoin futures contract at $9,482.5
- Long 2 spot BTC on Bitstamp at $9,415.35
- 14 July: Rollover July-August BAKKT Bitcoin futures at $85 (+2 July at $9,210, -2 August at $9,295)
PL as per 17th July
- Realized PL on the July 2020 ICE BAKKT Bitcoin futures contract = ($9,210 – $9,482.5) * -2 = $545
- Settlement price of the Aug 2020 ICE BAKKT Bitcoin futures contract on Friday, 17 July: $9,235
- Bitstamp BTC spot price on Friday, 17 July at 5pm ET (settlement time of the futures contract): ~$9,155
Gross PL = [($9,155 – $9,415.35) – (9,235 – $9,295)] * 2 + $545 = $144.3
This is up $24 from last week’s PL of $120.3.
We are now 25 days into our trade.
The net PL includes the following:
- 0.25% one-off charge at Bitstamp when buying spot BTC: $9,415.35 * 0.25% * 2 = $47.07
- Futures commission: $4 per lot per side (rollover trades will be included)
- Funding charge (spread) on futures margin: This depends on your broker. We assume an initial margin requirement equal to 200% the contract’s notional value for a short position and a spread of 0.25% per year.
Based on the above, the net PL is $80.10 as of 17 July, 2020.
Note that this is only an idea, not advice of any kind as pointed out in our Disclaimer.
