Key Takeaways
- • On November 10, CME's November Bitcoin futures settlement of $73,805 per BTC sat about $119.27 above Coinbase's minute-close spot price of $73,685.73, a gross premium of roughly 0.16%.
- • That premium implies about 3.48% gross annualized carry on a 365-day basis, which is below the 3.88% SOFR overnight benchmark cited by the New York Fed for November 9.
- • Financing the full spot purchase for 17 days at 3.88% on a 360-day convention would cost about $135.01, leaving a $15.74 shortfall per BTC before trading and other costs.
- • Using the minute's low spot price of $73,648.99 would leave only about $21 per BTC after financing, before execution costs, so the trade depends on favorable inputs.
- • US spot Bitcoin ETFs recorded $95 million in net outflows on November 10 and $201 million on November 9, per Farside, indicating continued aggregate redemptions.
Summary
A cash-and-carry trade, which pairs a Bitcoin purchase with a futures sale to capture the premium as the two prices converge, did not offer a clear return on November 10, according to an analysis published by CryptoSlate. Using CME's preliminary bulletin No. 217 and Coinbase's BTC-USD minute candle that closed at $73,685.73, the analysis calculated a $119.27 futures premium, or about 0.16% of spot. Annualized over the 17 days to the November 27 expiry on a simple 365-day basis, that equals about 3.48% gross carry. The analysis notes that results are sensitive to the spot input: the minute high produced 3.42% and the minute low produced 4.55%.
Funding costs are the central constraint. The New York Fed's SOFR data showed 3.88% effective November 9, but SOFR reflects overnight Treasury-secured borrowing and does not equal a trading desk's actual funding rate, collateral requirements, or credit access. The analysis also highlights a day-count difference: the carry figure uses 365 days, while the New York Fed's money-market convention uses actual days over 360. Financing the entire spot purchase for 17 days at 3.88% would cost roughly $135.01 per BTC, exceeding the $119.27 premium by about $15.74 before other costs.
Additional capital demands also apply. CME futures are marked to market daily, so a rise in Bitcoin can require cash payments on the short futures leg even as the spot position appreciates. The analysis also notes that an ETF version would require separate calculations reflecting sponsor fees, such as IBIT's 0.25% annual fee, and share premiums or discounts to net asset value.
The macro backdrop adds uncertainty. The October CPI release, published November 10, showed headline prices up 0.4% month over month and core up 0.3%. Governor Christopher Waller had said beforehand that a core reading around 0.3% or higher would warrant considering a 50-basis-point December rate increase, though these were his conditional views rather than a committee decision. The November contract expires before the Fed's December 8-9 meeting, but policy expectations could still affect funding conditions and the economics of rolling into later contracts.
On flows, US spot Bitcoin ETFs recorded $95 million in net outflows on November 10 after $201 million on November 9, according to Farside. The analysis cautions that these aggregate totals do not identify whether investors were running carry strategies, and the latest CFTC financial futures report covers positions as of November 3, so it cannot show how traders responded to the November 10 pricing. The analysis concludes that a sustained carry opportunity would need executable premiums that exceed actual funding, execution, and margin costs, and comparable pricing across subsequent sessions.
Funding costs are the central constraint. The New York Fed's SOFR data showed 3.88% effective November 9, but SOFR reflects overnight Treasury-secured borrowing and does not equal a trading desk's actual funding rate, collateral requirements, or credit access. The analysis also highlights a day-count difference: the carry figure uses 365 days, while the New York Fed's money-market convention uses actual days over 360. Financing the entire spot purchase for 17 days at 3.88% would cost roughly $135.01 per BTC, exceeding the $119.27 premium by about $15.74 before other costs.
Additional capital demands also apply. CME futures are marked to market daily, so a rise in Bitcoin can require cash payments on the short futures leg even as the spot position appreciates. The analysis also notes that an ETF version would require separate calculations reflecting sponsor fees, such as IBIT's 0.25% annual fee, and share premiums or discounts to net asset value.
The macro backdrop adds uncertainty. The October CPI release, published November 10, showed headline prices up 0.4% month over month and core up 0.3%. Governor Christopher Waller had said beforehand that a core reading around 0.3% or higher would warrant considering a 50-basis-point December rate increase, though these were his conditional views rather than a committee decision. The November contract expires before the Fed's December 8-9 meeting, but policy expectations could still affect funding conditions and the economics of rolling into later contracts.
On flows, US spot Bitcoin ETFs recorded $95 million in net outflows on November 10 after $201 million on November 9, according to Farside. The analysis cautions that these aggregate totals do not identify whether investors were running carry strategies, and the latest CFTC financial futures report covers positions as of November 3, so it cannot show how traders responded to the November 10 pricing. The analysis concludes that a sustained carry opportunity would need executable premiums that exceed actual funding, execution, and margin costs, and comparable pricing across subsequent sessions.
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