Our BTC Cash & Carry positions performed well last week as the BTC futures basis decreased on the back of falling spot prices. The combined PL of our ICE and CME trades now stands at $1,639 gross ($1,407 net). We are now 60 days into our ICE trade and 22 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
17 Aug: Rollover Aug-Sep ICE Bitcoin futures at $215 (+2 Aug at $12,185, -2 Sep at $12,400)
19 Aug: Rollover Aug-Sep CME Bitcoin futures at $160 (+2 Aug at $12,035, -2 Sep at $12,195)
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.
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