What better opportunity than Bitcoin crossing the $10k mark today for the first time in seven weeks to update last month’s Bitcoin cash&carry trade. If you want to know more about the logic behind the trade and the reasons this funding basis might persist, please see our initial post: For a Few Bitcoin More.

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.