Buying Bitcoin while hedging against a price decline can generate a return even without a rally. But November 10 pricing offered about $119 per $BTC before costs—below the roughly $135 needed to finance the purchase for 17 days in an illustrative borrowing calculation.
Known as cash-and-carry, the strategy combines a Bitcoin purchase with a futures sale. It aims to capture the premium between the two markets as their prices converge. Its appeal depends on the cost of funding and maintaining both positions.
This comparison uses CME’s November futures settlement and Coinbase’s price during the settlement window. It implies gross annualized carry of about 3.48%, compared with an overnight financing benchmark of 3.88%.
A small Bitcoin premium
CME’s preliminary bulletin No. 217, dated November 10, lists the November Bitcoin futures settlement at $73,805 per $BTC.
The $BTC-USD candle on Coinbase that began at 20:59 UTC closed at $73,685.73. That minute falls between 2:59 and 3:00 p.m. Central Standard Time, matching CME’s stated daily settlement window.
The futures settlement minus the Coinbase close is a premium of $119.27, or about 0.16% of the spot price. Using the 17-day calendar-date gap to the November 27 expiry and a simple 365-day annualization gives 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 illustrates how a relatively small change in spot price can shift a short-dated annualized figure.
These are still pricing proxies. Coinbase’s candle close represents a single venue’s last trade within that minute, while CME calculates its daily settlement using a volume-weighted futures price. Establishing an actual opportunity would require executable prices for both legs and sufficient size. Pairing the minute’s lowest spot trade with the futures settlement does not show that both prices were available at the same time.
CME’s own BasisWatch methodology uses a separate 60-second spot marker.
Borrowing can swallow the reward
Dated SOFR observations from the New York Fed show 3.88% effective November 9. SOFR measures the cost of overnight borrowing secured by Treasury securities. A Bitcoin trading desk may face materially different funding rates, collateral requirements and access to credit.
There is also a difference in conventions. The carry calculation above uses a 365-day year, while the New York Fed’s money-market methodology divides actual calendar days by 360.
For illustration, financing the full $73,685.73 spot purchase for 17 days at a constant 3.88%, using that 360-day convention, would cost about $135.01. Compared with the gross premium of $119.27, that leaves a $15.74 shortfall before trading and other costs.
Using the minute’s low instead would leave roughly $21 per $BTC after the same financing assumption, before other costs. That leaves only a small allowance, and relies on a more favorable spot input than the closing-price proxy.
Future overnight rates, borrowing spreads, execution costs and collateral income are unknown. An investor using its own cash would face an opportunity-cost decision, rather than this hypothetical loan bill.
Margin creates another capital requirement. CME futures are marked to market daily. If Bitcoin rises, the short futures position may require cash payments even as the spot holding gains value elsewhere. The investor needs enough liquidity to maintain the hedge.
The 3.48% figure measures gross carry against the spot purchase price. Return on margin has a different denominator, and focusing only on the futures deposit would leave out the capital supporting the long position.
An ETF version needs a separate calculation based on share prices and hedge ratios. Fund fees and premiums or discounts to net asset value affect the economics. For example, IBIT lists an annual sponsor fee of 0.25%; buying its shares would not exactly replicate the Coinbase spot leg.
December policy risk
The macro backdrop makes financing costs especially relevant. The October CPI release, published November 10, showed consumer prices rising 0.4% month over month and core prices increasing 0.3%, both on a seasonally adjusted basis.
Before the release, Governor Christopher Waller said a core reading of around 0.3% or higher would warrant considering a 50-basis-point rate increase in December. These were his conditional views, not a committee decision.
The November futures contract expires before the Fed’s December 8–9 meeting. A December increase therefore would not be an already-incurred financing cost for a position completed at November expiry. Policy expectations could still influence current funding conditions and the economics of rolling into later contracts.
What would bring buyers in
US spot Bitcoin ETFs saw net outflows of $95 million on November 10, following $201 million on November 9, according to Farside’s completed daily rows.
Those totals show continued aggregate redemptions. They do not reveal investors’ strategies or link any particular ETF holding to a futures hedge.
The available CFTC financial futures report covers positions as of November 3, one week before the CPI session. It cannot show how traders responded to November 10 prices. Its trader categories also do not provide a complete account-level view of related spot and ETF holdings.
Evidence consistent with fresh carry demand would include executable futures premiums that leave room after actual funding costs, increased spot or ETF exposure, and corresponding futures hedges. Comparable pricing in subsequent sessions would help distinguish a persistent incentive from a fleeting observation.
Bitcoin could also recover on stronger directional spot demand from buyers willing to take outright price risk. Cash-and-carry is one potential source of support, but it has its own financial hurdle.
For this hedged Bitcoin trade, the decision to buy depends on the premium remaining after funding and execution costs, as well as the cash needed to keep both positions open.
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