Our BTC cash & carry trades performed very well this past week as the basis between spot und futures narrowed substantially. The combined PL of our ICE and CME trades amounts to $989 gross ($779 net). We are now 46 days into our ICE trade and 8 days into our CME trade.
- 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, 7th August
- 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: $11,625
- Settlement price of the Aug 2020 CME Bitcoin futures contract: $11,575
- Bitstamp BTC spot price at 5pm ET: $11,520
PL = (Spot OTE – Futures OTE) * Lots + Total Realized PL
- ICE PL = [($11,520 – $9,415.35) – ($11,625 – $9,295)] * 2 + $545 = $94.3
- CME PL = [($11,520 – $11,021) – ($11,575 – $11,255)] * 5 = $895
Thus, the combined gross PL is $989.3
We are now 46 days into our ICE trade and 8 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.