Buying Bitcoin without betting on a rally may not pay
Buying Bitcoin while hedging against a price drop can earn a return without a rally. But November 10 pricing offered about $119 per BTC before costs, less than the roughly $135 needed to finance the purchase for 17 days in an illustrative borrowing calculation. The strategy, known as cash-and-carry, pairs a Bitcoin purchase with a… Read the full story on CryptoSlateUnderstand the crypto stories that matter and what to watch next. Get The Catalyst in your inbox
Buying Bitcoin while hedging against a price drop can earn a return without a rally. But November 10 pricing offered about $119 per BTC before costs, less than the roughly $135 needed to finance the purchase for 17 days in an illustrative borrowing calculation.
The strategy, known as cash-and-carry, pairs a Bitcoin purchase with a futures sale. It seeks to earn the premium between the two markets as their prices converge. Its attraction depends on the cost of funding and maintaining both positions.
The comparison uses CME’s November futures settlement and Coinbase’s price during the settlement window. It implies about 3.48% gross annualized carry, against a 3.88% overnight financing benchmark.
CME’s preliminary bulletin No. 217, dated November 10, lists 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 corresponds to 2:59–3:00 p.m. Central Standard Time, aligning with CME’s stated daily settlement window.
Subtracting the Coinbase close from the futures settlement gives a $119.27 premium, or about 0.16% of the spot price. Using the 17-day calendar-date difference to November 27 expiry and a simple 365-day annualization produces the following sensitivity:
| Coinbase spot proxy | Spot price | Futures premium per BTC | Gross annualized carry |
|---|---|---|---|
| Minute close | $73,685.73 | $119.27 | 3.48% |
| Minute high | $73,687.79 | $117.21 | 3.42% |
| Minute low | $73,648.99 | $156.01 | 4.55% |
The range shows how much a short-dated annualized figure can move with a relatively small change in spot price.
These remain pricing proxies. Coinbase’s candle close is a single venue’s last trade within the minute, while CME’s daily settlement methodology uses a volume-weighted futures price. A trader would need executable prices for both legs, at sufficient size, to establish an actual opportunity. Pairing the minute’s lowest spot trade with the futures settlement does not demonstrate that both prices were simultaneously available.
CME’s own BasisWatch methodology uses a separate 60-second spot marker.
The New York Fed’s dated SOFR observations show 3.88% effective November 9. SOFR measures overnight borrowing secured by Treasury securities. A Bitcoin trading desk’s funding rate, collateral requirements and access to credit can differ materially.
There is also a convention difference. The carry calculation above uses a 365-day year. The New York Fed’s money-market methodology uses actual calendar days divided by 360.
For illustration, financing the entire $73,685.73 spot purchase for 17 days at a constant 3.88%, using that 360-day convention, would cost approximately $135.01. Against the $119.27 gross premium, that leaves a $15.74 shortfall before trading and other costs.