CryptoSlate
A May 2026 study from Purdue University professor Mindy Mallory lined up 386 matched observations of forward Bitcoin exposure built two different ways and found a consistent, economically meaningful cost gap. One route reconstructs a forward price from matched calls and puts on BlackRock's iShares Bitcoin Trust (IBIT) and adjusts it for the fund's 0.25% annual sponsor fee and Bitcoin-per-share ratio. The other reads the carry directly off a cash-settled CME Bitcoin futures contract at a similar maturity. Both were aligned to the CME CF Bitcoin Reference Rate New York Variant, the once-daily 4 p.m. New York benchmark.
The annualized carry on CME futures exceeded the fee-adjusted carry implied by IBIT options by an average of 2.581 percentage points across the sample, with a median of 2.521 points. The study reported a standard deviation of 4.716 percentage points, a fifth-percentile reading of negative 4.767 points and a 95th-percentile reading of 10.418 points. The wedge widened with maturity: the 14-to-30-day bucket averaged 2.222 points on 193 observations, and the 31-to-60-day bucket averaged 2.939 points on the same count.
Why it matters
Economically equivalent Bitcoin exposure is sitting in two clearing systems that don't talk to each other cleanly. IBIT shares and listed options settle through the Options Clearing Corporation, while CME futures clear through CME Clearing with their own margin cycle and collateral treatment. The OCC and CME run a cross-margin program, but OCC notes participation is generally limited to clearing members, their affiliates and certain market professionals, and the offset only applies where products, account structure, broker and legal classification line up.
That means a desk can sit on a near-flat combined Bitcoin position and still post margin in two separate pools, tying up capital that arbitrage would normally have freed. Applied to a $1 billion notional as a pure illustration, the 2.58-point average wedge would correspond to roughly $25.81 million over a year, though Mallory's paper stresses the figure is a sample average, not a guaranteed fee, and the gap occasionally reverses.
Market impact
The hidden cost shows up in the strategies most exposed to it: basis trades that pair spot or ETF exposure against short futures, relative-value books that run pair hedges across venues, and dealer inventory that prices the friction into wider spreads and option premia.
Frequently asked questions
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What did the Purdue study actually measure?
It matched 386 pairs of forward Bitcoin exposure built two ways: a forward price reconstructed from matched IBIT calls and puts, and carry read directly off a CME Bitcoin futures contract at similar maturity, both anchored to the CME CF Bitcoin Reference Rate New York Variant.
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How big was the cost gap it found?
CME futures carry exceeded the IBIT-options route by an average of 2.581 annualized percentage points, with a median of 2.521, a standard deviation of 4.716, a 5th-percentile reading of negative 4.767 and a 95th-percentile reading of 10.418.
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Does the 2.58-point wedge mean every CME futures position is 2.58% more expensive?
No. The figure is a historical sample average that varied widely by date and occasionally reversed. It is evidence that economically related Bitcoin exposures can stay priced differently, not a guaranteed surcharge on any single trade.
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Why doesn't arbitrage erase the gap between these products?
IBIT shares and listed options clear through the OCC, while CME futures clear through CME Clearing with separate margin and collateral rules. OCC and CME run a cross-margin program, but eligibility is generally limited to clearing members and certain professionals, so an IBIT options position in one account does not…
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Who pays this hidden cost in practice?
Basis traders pairing spot or ETF exposure against short futures, relative-value desks running cross-venue hedges, and market makers absorbing the friction into wider spreads and option premia. The cost can reach other investors through those wider quotes even when they never touch a futures contract.
CoinTelegraph
Benjamin Cowen
Crypto Capital Venture
Whale Alert