Two Wall Street trading desks can hold economically comparable Bitcoin exposure yet incur materially different costs to maintain that position. The disparity does not stem from divergent market calls but from the fact that regulated products carrying these positions reside in collateral systems that do not consistently treat them as components of a unified hedge.
One desk can reconstruct a forward Bitcoin position by pairing matched calls and puts on BlackRock’s iShares Bitcoin Trust (IBIT), while another can achieve comparable price exposure through a cash-settled CME Bitcoin futures contract of similar maturity.
Although the underlying economic risk is closely related, the financing cost is not.
A May 2026 study by Purdue University professor Mindy Mallory analyzed 386 matched observations and found that the 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.
Applied purely as an illustration, a 2.581-point annualized spread on a $1 billion position equates to roughly $25.81 million over a full year—though the paper clarifies that the wedge is not a fixed fee and found it varied substantially across dates, occasionally reversing direction entirely.
The result exposes one of the less visible consequences of Bitcoin’s migration to Wall Street: investors have gained several regulated pathways to reach the same asset, yet these products reside in separate securities, options, and futures systems that still do not function as a single integrated market.
Two routes to similar Bitcoin exposure
The institutional Bitcoin market now encompasses spot exchange-traded products, listed options on those products, standard and micro CME futures, options on futures, and shorter-dated Bitcoin Friday contracts, each offering a distinct blend of custody, leverage, liquidity, settlement, and collateral treatment.
For the study, the relevant comparison was between the forward price implied by IBIT options and the forward price observable in a matched CME futures contract.
A futures contract already stipulates the price at which Bitcoin exposure will settle at a future date, making its implied carry relatively straightforward to observe.
The corresponding forward price inside IBIT’s options market must be reconstructed via put-call parity, which uses the prices of a call and put sharing the same strike and expiration to calculate the forward value implied by the options market.
BlackRock’s official IBIT disclosures—including the amount of Bitcoin represented by each share and the fund’s 0.25% annual sponsor fee—then permit that ETF-implied forward to be converted into Bitcoin-denominated terms and compared with CME futures.
The study aligned both routes against the CME CF Bitcoin Reference Rate New York Variant, a once-daily Bitcoin benchmark synchronized with the 4 p.m. New York market close.
| Feature | IBIT options route | CME futures route |
|---|---|---|
| Exposure | A forward price is reconstructed from matched calls and puts on IBIT shares. | A Bitcoin futures contract provides direct forward exposure through a stated contract price. |
| Underlying reference | IBIT shares backed by Bitcoin held by the trust. | Cash-settled Bitcoin futures linked to CME reference-rate methodology. |
| Clearing system | Listed options generally clear through the Options Clearing Corporation. | Futures clear through CME Clearing. |
| How carry appears | Carry must be inferred through put-call parity and adjusted for Bitcoin per share and the fund fee. | Carry appears in the futures premium or discount relative to the aligned Bitcoin benchmark. |
| Principal friction | ETF financing, option liquidity, and securities-account margin treatment. | Separate futures margin, daily settlement, and collateral requirements. |
| Average result in the study | Lower fee-adjusted implied carry on average. | Carry averaged 2.581 annual percentage points above the IBIT-options route. |
Data note: The 2.581-point figure reflects a historical sample average reported by the paper and is not a permanent price difference or a guaranteed trading return.
The 2.58-point average is large enough to be economically meaningful, but it is not representative of every individual trading day.
The study reported a standard deviation of 4.716 percentage points, a fifth-percentile reading of negative 4.767 points, and a ninety-fifth-percentile reading of 10.418 points, showing that the relative cost changed widely and that CME was not always the more expensive route.
The difference also increased with maturity in the selected sample.
Positions in the 14-to-30-day window produced an average wedge of 2.222 points, while those in the 31-to-60-day window averaged 2.939 points, with 193 observations in each group.
The paper excluded the 61-to-90-day results because longer-dated IBIT options remained too thin to produce sufficiently stable comparisons.
Those distinctions are important because the headline result should not be interpreted as an automatic 2.58% surcharge attached to every CME futures position, but as evidence that economically related Bitcoin exposures can remain priced differently when capital, margin, and liquidity cannot move frictionlessly between their respective systems.
Why doesn’t arbitrage erase the difference?
In a fully integrated market, a sufficiently large and persistent pricing difference would attract arbitrage capital until buying the cheaper exposure and selling the more expensive one pushed the two prices back together.
The Bitcoin market does not always permit that process because IBIT shares and listed options occupy securities-market infrastructure, while CME futures rely on a separate futures clearinghouse, margin cycle, and collateral framework.
The Options Clearing Corporation and CME operate a cross-margin program that recognizes eligible offsetting positions held at different clearinghouses, thereby reducing margin requirements and settlement demands.
However, OCC states that participation is generally limited to clearing members, their affiliates, and certain market professionals, while the precise benefit depends on the products, account structure, broker, and legal classification involved.
An IBIT options position in one account therefore will not automatically offset a CME futures position in another account simply because the two trades appear hedged in economic terms.
A firm can have little net Bitcoin price exposure across the combined position yet still be required to support two separate margin pools, reducing the capital available for other positions and creating a financing cost that can become embedded in quoted prices.
The paper’s findings align with that segmentation, although they should not be read as proving that margin treatment is the sole possible cause of every daily difference.
Who ultimately bears the hidden cost?
Relative-value funds feel the friction most directly because their strategies frequently pair one Bitcoin product against another, leaving them economically hedged while requiring collateral in more than one location.
A familiar example is the basis trade, in which an institution holds spot or ETF exposure while selling futures to capture the difference between the two prices rather than making an unhedged prediction about Bitcoin’s direction.
Market makers can transfer the cost less visibly through wider bid-ask spreads, option premiums, and implied volatility, meaning the expense may eventually reach other investors without appearing as a separately itemized fee.
That is why the cheapest regulated Bitcoin product cannot be identified by comparing expense ratios alone, because its full cost also depends on financing, liquidity, custody, margin offsets, collateral eligibility, and the operational permissions attached to the account.
Against those larger variables, IBIT’s stated 0.25% sponsor fee can become one of the smaller components of the total holding cost.
This also complicates interpretations of spot Bitcoin ETF inflows and outflows, because not every share entering or leaving an ETF represents a straightforward investor decision to become bullish or bearish on Bitcoin.
ETF shares can support basis positions, options hedges, covered-call programs, relative-value trades, and dealer inventory, creating activity that may look directional when seen only through the daily flow total.
IBIT’s options market has likewise become a key destination for covered-call and income-focused positioning. Periods of severe volatility have produced record activity there as institutions reshaped risk through a regulated, US-listed wrapper.
That means a large ETF inflow can coexist with a short futures hedge, while a large outflow can reflect the closing of a spread or options-related inventory rather than the abandonment of a long-term Bitcoin allocation.
CME solved the weekend trading gap, but not the collateral gap
CME expanded its cryptocurrency futures and options market to 24-hour, seven-day trading on May 29, allowing regulated futures traders to react to Bitcoin moves during weekends rather than waiting for the traditional Sunday reopening.
The change reduced one key mismatch between a continuously traded cryptocurrency and the limited hours of conventional derivatives markets—a transition that reshaped the institutional Bitcoin trading cycle.
Yet it did not render every component of the market continuous or fully integrated.
US equity and listed-options markets remain closed through the weekend. Weekend and holiday transactions on CME receive the following business day’s trade date and pass through clearing, settlement, and regulatory reporting on that business day.
A weekend shock can therefore be traded immediately through CME futures, while IBIT shares and listed options needed for the other side of a cross-market position remain unavailable until the equity market reopens.
When volatility rises, margin requirements and liquidity demands can rise with it, making separate collateral pools most burdensome precisely when arbitrage capital is needed to reconnect prices across the different wrappers.
Wall Street resolved the first major problem presented by institutional Bitcoin adoption by creating several regulated products through which investors could obtain exposure without directly holding coins or using offshore exchanges.
It still has not solved the second problem—making those products operate as parts of one connected market whose collateral system recognizes economically offsetting risk wherever it appears.
The 2.58-point average reported by the Purdue study is therefore more than just a comparison between two financing rates; it measures the potential cost of dividing one underlying asset among legal and operational compartments that remain only partially connected.
Investors may see IBIT options, CME futures, and spot Bitcoin ETFs as different doors into the same market, but the systems behind those doors still apply different rules to funding, settlement, and collateral, creating a cost that no ETF expense ratio displays.