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 24th July
Realized PL on the July 2020 ICE BAKKT Bitcoin futures contract = ($9,210 – $9,482.5) * -2 = $545
Settlement price of the August 2020 ICE BAKKT Bitcoin futures contract on Friday, 24 July: $9,712.5
Bitstamp BTC spot price on Friday, 24 July at 5pm ET (settlement time of the futures contract): ~$9,630
This is down $5 from last week’s PL of $144.3.
Bitcoin rallied during the past couple of days and the futures basis widened considerably, which is why we experienced a small loss. The annualized funding basis implied in the Aug 2020 ICE BAKKT Bitcoin futures contract is about 13% as of July 24
We are now 32 days into our trade
The net PL includes the following:
0.5% one-off charge at Bitstamp when buying spot BTC: $9,415.35 * 0.5% * 2 = $94.15
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.
Note that this is only an idea, not advice of any kind as pointed out in our Disclaimer.
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