A brief look at November 10 pricing reveals that the cash‑and‑carry arbitrage opportunity many traders watch for Bitcoin is unlikely to be profitable when realistic funding costs are applied. The strategy, which pairs a spot purchase with a short futures position, hinges on a premium between the two markets that can outweigh the cost of borrowing the cash needed for the spot leg.

BTC / USD
Source: CoinGecko. Prices are indicative.

Premium versus financing cost

CME’s preliminary bulletin No. 217 listed the settlement price for the November Bitcoin futures contract at $73,805 per BTC. Coinbase’s price at the end of the settlement minute was $73,685.73, generating a $119.27 premium – roughly 0.16 % of the spot price. When annualized over the 17‑day interval to the contract’s November 27 expiry, the gross carry equates to about 3.48 % per year, according to CryptoSlate.

Funding assumptions and shortfall

The New York Federal Reserve’s effective SOFR rate for November 9 stood at 3.88 %. Applying the Fed’s 360‑day money‑market convention, financing the full $73,685.73 spot purchase for 17 days would cost approximately $135.01 per BTC. Comparing this cost with the $119.27 premium leaves a $15.74 gap before any execution fees, collateral costs, or margin requirements are considered. Using the minute’s low spot trade instead of the close would improve the gap to about $21, but the shortfall remains.

Practical considerations for traders

Even if the premium were larger, traders must obtain executable prices for both legs at sufficient size, manage daily margin calls on the futures position, and account for the differing funding rates that a Bitcoin desk may face versus the benchmark SOFR. Moreover, the premium calculation uses a single Coinbase candle, while CME’s settlement is a volume‑weighted average, meaning the two prices may not be simultaneously attainable.

What to watch next

Future observations should focus on whether the cash‑and‑carry premium widens as funding rates shift, especially after the Federal Reserve’s December policy meeting. Monitoring subsequent CME‑Coinbase price differentials, as well as ETF inflows/outflows that could signal broader market sentiment, will help determine if the arbitrage remains a viable source of support for Bitcoin prices.

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