After we observed a widening of the basis over the last weeks, we decided to add another BTC cash & carry trade, this time using the CME-listed futures contract. We switched our broker for this trade, which has the benefit are substantially lower margin requirements.

Here are the trade details:

  • 30 Jul: Sell 1 CME August BTC contract at $11,255
  • 30 Jul: Buy 5 spot BTC on Bitstamp at $11,047 including fees

At the time of trade entry the futures contract implied an annualized funding basis of around 30%.

Trade history

  • 22 Jun: Sell 2 July 2020 ICE Bitcoin futures contracts at $9,482.5
  • 22 Jun: Buy 2 spot BTC on Bitstamp at $9,415.35
  • 14 Jul: Rollover Jul-Aug ICE Bitcoin futures at $85 (+2 July at $9,210, -2 August at $9,295)
  • 30 Jul: Sell 1 Aug 2020 CME Bitcoin futures contract at $11,255
  • 30 Jul: Buy 5 spot BTC on Bitstamp at $11,021

PL update as per Friday, 31 Jul

  • Realized PL on the Jul 2020 ICE Bitcoin futures contract = ($9,210 – $9,482.5) * -2 = $545
  • Settlement price of the Aug 2020 ICE Bitcoin futures contract: $11,480
  • Settlement price of the Aug 2020 CME Bitcoin futures contract: $11,610
  • Bitstamp BTC spot price at 5pm ET: $11,354

PL = (Spot OTE – Futures OTE) * Lots + Total Realized PL

  • ICE PL = [($11,354 – $9,415.35) – ($11,480 – $9,295)] * 2 + $545 = $52.3
  • CME PL = [($11,354 – $11,021) – ($11,610 – $11,255)] * 5 = -$110

Thus, the combined gross PL is $52.3 – $110 = -$57.7

We are now 39 days into our ICE trade and 1 days into our CME trade.

The net PL includes the following:

  • 0.25% one-off charge at Bitstamp when buying spot BTC
  • Futures commission: $4 per lot per side (rollover trades will be included)
  • Funding charge (spread) on futures margin: We assume a margin funding charge (spread) of 0.25% per year (the actual number depends on your broker). The initial margin requirements also depend on your broker. We assume 200% initial margin for a short position on ICE, and 70% initial margin for a short position on CME.

Note that this is only an idea, not advice of any kind as pointed out in our Disclaimer.