Bitcoin cash-and-carry premium trailed financing costs on Nov. 10, analysis shows
In brief
- CME's November Bitcoin futures settled at $73,805 per BTC, per preliminary bulletin No. 217.
- Futures premium over Coinbase spot was $119.27 in CryptoSlate's illustrative math.
- SOFR financing at 3.88% for 17 days would cost about $135.01.
- Figures are pricing proxies, not executable prices; desk funding costs vary.
How the premium was measured
CME's preliminary bulletin No. 217, dated November 10, listed the November Bitcoin futures settlement at $73,805 per BTC. Coinbase's BTC-USD candle beginning at 20:59 UTC closed at $73,685.73. That minute lines up with 2:59–3:00 p.m. Central Standard Time (CME's stated daily settlement window).
Subtracting one from the other gave a $119.27 premium, or about 0.16% of the spot price. Using the 17-day gap to the November 27 expiry and a simple 365-day annualization, the analysis put gross carry at about 3.48%. It compared that with a 3.88% overnight benchmark, the SOFR rate New York Fed observations showed effective November 9.
Where the math broke down
Financing the full $73,685.73 purchase for 17 days at a constant 3.88% would cost about $135.01 under the New York Fed's actual/360 convention (the carry figure itself used 365 days). That leaves a $15.74 shortfall against the gross premium, before trading and other costs.
On those assumptions, financing ate the spread.
It isn't a verdict on every desk, though. These are pricing proxies, not executable prices. Coinbase's candle close is a single venue's last trade within the minute, while CME's settlement uses a volume-weighted futures price, and CME's own BasisWatch methodology uses a separate 60-second spot marker. Using the minute's low instead would've left roughly $21 per BTC after the same financing assumption, before other costs. Wright put the limitation plainly:
"A trader would need executable prices for both legs, at sufficient size, to establish an actual opportunity."
Funding, margin and fees
SOFR measures overnight borrowing secured by Treasury securities. A Bitcoin desk's funding rate, collateral requirements and access to credit can differ materially, so the $135 figure won't apply to everyone. Future overnight rates, borrowing spreads, execution costs and collateral income remain unknown.
There's a cash-flow catch, too. CME futures are marked to market daily, so if Bitcoin rises, the short futures leg can require cash payments even while the spot holding gains value elsewhere. Swapping spot for IBIT shares doesn't solve it neatly either; the fund lists a 0.25% annual sponsor fee and buying it wouldn't exactly reproduce the Coinbase spot leg.
Frequently asked questions
What is a Bitcoin cash-and-carry trade?
Cash-and-carry pairs a Bitcoin purchase with a futures sale. It seeks to earn the premium between the spot and futures markets as their prices converge toward expiry, rather than relying on a price rally.
Why didn't the Nov. 10 premium cover financing costs in CryptoSlate's calculation?
The futures premium over Coinbase spot was $119.27 per BTC. Financing the $73,685.73 purchase for 17 days at SOFR's 3.88% on a 360-day convention would cost about $135.01, leaving a $15.74 shortfall before trading and other costs.
Does this mean the trade loses money for everyone?
No. The figures are pricing proxies rather than executable prices, and a desk's funding rate, collateral requirements and credit access can differ materially from SOFR. Using the minute's low spot price would have left roughly $21 per BTC after the same financing assumption.
