CryptoSlate
A November 10 pricing snapshot implied $119.27 per Bitcoin in gross carry over 17 days, less than the $135.01 cost of financing the spot purchase at an illustrative 3.88% rate. The resulting $15.74 shortfall excludes trading and other costs.
Cash-and-carry pairs a Bitcoin purchase with a futures sale to capture the premium as prices converge. CME's November futures settlement and a Coinbase spot-price proxy implied a 3.48% annualized gross return, but the comparison was not an executable trade quote.
Funding terms vary, and an investor using cash faces an opportunity cost rather than the hypothetical loan bill. CME futures are also marked to market daily, so a rising Bitcoin price can require cash payments on the short position even as the spot holding gains.
US spot Bitcoin ETFs had $95 million in net outflows on November 10, but those flows do not identify which investors used futures hedges.
Frequently asked questions
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How does a Bitcoin cash-and-carry trade work?
It pairs a Bitcoin purchase with a futures sale, seeking to capture the premium as spot and futures prices converge.
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How much did illustrative financing exceed the gross premium?
Financing the spot purchase at a constant 3.88% rate was estimated at $135.01 over 17 days, $15.74 more than the $119.27 gross premium, before trading and other costs.
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Was the 3.48% annualized carry an executable return?
No. It was a gross annualized figure derived from CME's November futures settlement and a Coinbase spot-price proxy, not an executable trade quote.
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Why does a hedged Bitcoin position still need cash?
CME futures are marked to market daily. A rising Bitcoin price can require cash payments on the short futures position even while the spot holding gains.
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Do Bitcoin ETF outflows reveal how many investors used futures hedges?
No. US spot Bitcoin ETFs recorded $95 million in net outflows on November 10, but those flows do not identify which investors used futures hedges.
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