On November 10, the $119.27 premium between CME’s futures price and Coinbase’s spot price represented a gross annualized return of 3.48%. Financing the full purchase for 17 days at an annual rate of 3.88% would cost about $135.01 per Bitcoin, creating a $15.74 shortfall before trading costs. The hedging strategy nevertheless requires simultaneously executable prices and sufficient liquidity to absorb margin calls if Bitcoin rises. Net outflows of $95 million from U.S. spot Bitcoin ETFs on November 10, following $201 million on November 9, indicate continued redemptions without revealing investors’ strategies. Profitability therefore depends on the premium actually available after funding, execution costs and the capital tied up in the positions.
Source: Read the original article
