Wall Street's Bitcoin Pricing Glitch: A $25 Million Difference
A recent study by Purdue University professor Mindy Mallory found that investors using regulated Bitcoin products on Wall Street can pay significantly different amounts for similar exposure to the cryptocurrency.
The study, which compared 386 matched observations of two routes to Bitcoin exposure - through BlackRock's iShares Bitcoin Trust (IBIT) options and CME futures contracts - found that the average annualized carry embedded in CME Bitcoin futures exceeded the fee-adjusted carry reconstructed from IBIT options by 2.581 percentage points.
This translates to a $25.81 million difference over a full year on a $1 billion position, although the study notes that this figure is not a fixed fee and can vary substantially across dates.
The result highlights one of the less visible consequences of Bitcoin's arrival on Wall Street: the creation of separate securities, options, and futures systems that still don't behave like one integrated market.