Two weeks ago (For a Few Bitcoin More), we presented a Bitcoin cash & carry trade.

As promised we aim to update our trade ideas regularly and keep you posted with relevant information. Last week, we are looked into the sensitivity of the trade to changes in the basis. This week we give you a quick update on the recent performance

Trade recap from 22 June

  • 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

This trade implied an annualized funding basis of 11.94%. This basis is the annualized percentage difference between the spot price and the futures price. A market trading in contango, as is the case here, offers incentives for miners and other market participants that are long spot BTC to hedge their exposure and engage in cash & carry trades.

PL as per 10 July

  • Settlement price of the Jul 2020 ICE BAKKT Bitcoin futures contract on Friday, 10 July: $9,240
  • Bitstamp BTC spot price on Friday, 10 July at 5pm ET (settlement time of the futures contract): ~$9,233

Gross PL = [($9,233 – $9,415.35) – (9,240 – $9,482.5)] * 2 = $120.3

This is up $41 from last week’s PL of $79.3.

The futures contract will expire on Wednesday, 15 July. We’ll roll the contract from July to August in the next couple of days.

The net PL includes the following:

  • 0.25% one-off charge at Bitstamp when buying spot BTC: $9,415.35 * 0.25% * 2 = $47.07
  • 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.

Based on the above, the net PL is $64.13 as of 10 July, 2020.

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