A May 2026 study by Purdue University professor Mindy Mallory compared 386 matched observations and found an average annualized financing gap of 2.581 percentage points between CME Bitcoin futures and the fee-adjusted carry reconstructed from IBIT options. Applied to a $1 billion position, this gap could represent approximately $25.81 million over a full year. The problem stems from segmented clearing infrastructure: IBIT options clear through the OCC while CME futures use CME Clearing, preventing automatic cross-margin for most investors. Relative-value strategies and basis funds feel this friction most directly as they must maintain collateral in multiple locations while remaining economically hedged. The costs can be transferred less visibly to other investors through wider bid-ask spreads and higher option premiums.
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