Bitcoin spot prices fell last week, coming close to the USD$10k level. In line with this decline, the implied funding spreads of the CME and ICE futures contracts narrowed substantially, trading below 10% annualized since Wednesday. We therefore decided to close our positions on Wednesday to realize the gains of our Cash & Carry trade. Should the basis increase again to more attractive levels, we’ll re-enter the trade.
The combined PL of our ICE and CME trades amounts to $2,324 gross ($1,940 net).
- 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)
- 2 Sep: Closing positions. Buy 1 CME Bitcoin futures at $11,460, buy 2 ICE Bitcoin futures at $11,445, sell 7 spot Bitcoin on Bitstamp at $11,395
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.