Bitcoin

BTC Cash-And-Carry Arb Update: Aftermath from the Crash, and How to Time the Trade

Crypto
209 Views, 06 Dec 2021 15:17
EXECUTIVE SUMMARY
  • BTC fell 20% over the weekend. As the trade is delta-neutral: long BTC spot and short BTC futures; directional market movements had no impact on the trade. 
  • In fact, BTC crash led to immediate gains in the futures arb trade as futures prices fell and spread compressed versus spot
  • Using on-chain analysis enables the better timing of the trade by entering the trade when futures open interest is near the upper band of historical levels
detail (3-minute read)
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Josh Du
Crypto Fundamental Investor/Analyst
Multi-AssetCrypto

I've been an investor all my career with experiences across multiple asset classes, worked at shops like Horizon (PM), N... 

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