Trading Strategies for Bitcoin Futures Premiums

  1. Classic cash-and-carry futures arbitrage
  2. Inter-exchange premium arbitrage
  3. Funding rate perpetual contract synthetic USD yield

Cash and Carry Premium Arbitrage

  • Cost to transfer USD into exchange: $30 (0.03%)
  • Cost to spot-buy BTC (0.07%)
  • Cost to futures-sell BTC:USD (0.02%)
  • Cost to cover futures position on BTC:USD (0.02%)
  • Cost to spot-sell BTC to USD (0.07%)
  • Cost to transfer USD back to bank account: $30 (0.03%)

Inter-exchange Premium Arbitrage

Perpetual Synthetic USD Funding Rate Yield

  • 0.03% — $30 USD wire to Bitfinex or FTX
  • 0.07% spot buy of BTC
  • 0.002% btc xfer to BitMEX
  • 0.075% taker BitMEX to open
  • 0.075% taker BitMEX to close
  • 0.002% btc xfer from BitMEX
  • 0.07% spot sell of BTC to USD
  • 0.03% wire back to bank account

Summary

  1. Cash and carry: 26.66%
  2. Inter-exchange arb: 4.8%
  3. Perpetual synthetic USD yield: 32.64%

Risks

Disclaimer

aka swapman. I'm co-admin of Whalepool.io and do stuff with cryptocurrency derivatives.

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aka swapman. I'm co-admin of Whalepool.io and do stuff with cryptocurrency derivatives.

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