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Bitcoin-linked desks face different collateral costs despite similar hedges
A Purdue study comparing IBIT options-implied forwards versus CME futures found an average 2.581 percentage point gap in annualized carry, which could be about $25.81 million on a $1 billion position over a year.
Two Wall Street trading desks can hold economically similar Bitcoin exposure yet pay materially different amounts to keep those positions open, largely because the regulated products involved sit in collateral and margin systems that do not treat them as parts of a single integrated hedge, according to CryptoSlate.
The comparison in a May 2026 Purdue University study by professor Mindy Mallory looked at how the forward price, and the carry embedded in it, differs between Bitcoin exposure carried via BlackRock’s iShares Bitcoin Trust (IBIT) options and via a cash-settled CME Bitcoin futures contract with a similar maturity.
In the study’s analysis of 386 matched observations, annualized carry embedded in CME Bitcoin futures exceeded the fee-adjusted carry reconstructed from IBIT options by an average of 2.581 percentage points, with a median difference of 2.521 points. The paper notes the gap varied substantially across dates, including occasional reversals, and the implied $25.81 million over a year on a $1 billion position is offered only as an illustration.
CryptoSlate frames the issue as one of the less visible impacts of Bitcoin’s move into traditional markets: investors can access the same asset through multiple regulated routes, including spot exchange-traded products, listed options, various CME futures, and shorter-dated Bitcoin contracts, but those products are routed through separate options and futures systems with different custody, leverage, liquidity, settlement, and collateral treatment.
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