Yesterday, we decided to get back into the bitcoin cash & carry trade as the CME futures basis traded at greater than 35% annualized in the early afternoon European time. We bought 5 bitcoin on Bitstamp at $19,515 including the 0.25% transaction charge and simultaneously sold 1 Dec 20 CME bitcoin futures contract at [...]

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. [...]

Our BTC Cash & Carry positions performed flat last week. The combined PL of our ICE and CME trades now stands at $1,634 gross ($1,399 net). We are now 67 days into our ICE trade and 29 days into our CME trade. Trade history 22 Jun: Sell 2 July 2020 ICE Bitcoin futures contracts at [...]

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. [...]

The combined PL of our ICE and CME trades was essentially flat this week and stands at $999 gross ($786 net). We are now 53 days into our ICE trade and 15 days into our CME trade. Trade history 22 Jun: Sell 2 July 2020 ICE Bitcoin futures contracts at $9,482.5 22 Jun: Buy 2 [...]

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. Trade history 22 [...]

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 [...]

What better opportunity than Bitcoin crossing the $10k mark today for the first time in seven weeks to update last month's Bitcoin cash&carry trade. If you want to know more about the logic behind the trade and the reasons this funding basis might persist, please see our initial post: For a Few Bitcoin More. Trade [...]

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. Trade recap from 22nd June (tade of date initiation) Short 2 lots of the July 2020 ICE BAKKT Bitcoin futures contract at [...]

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 [...]