Crypto Futures Basis & Cash-Carry Desk | CME Institutional Arbitrage Calculator

Trade Specifications

BCH / USD

Asset Symbol Contract Multiplier Units of coin per 1 contract

Spot Price ($) Cash market entry Futures Price ($) CME contract quote

Contracts Traded Total lots shorted Days to Expiry (DTE) Calendar days to expiry

CME Initial Margin Rate: 35%

Cash Borrow / Financing Rate (p.a.): 4.5%

Spot Execution Fee Basis points (bps) Futures Clearing Fee $ / contract per side

Cash & Carry Arbitrage Analytics

Contango Arbitrage

Annualized Basis (APR)
25.04%
APY: 28.32%

Nominal Basis Spread

+$6.30

+1.85% Gross

Net Trade Return ($)

+$483.56

Held for 27 days

Total Capital Required

$46,188

Spot: $34k | Fut: $12k

Basis Convergence & Settlement Payoff

Arbitrage Net PnL ($)

Theoretical Spot Path

Leg / Component	Quantity / Units	Notional Value	Effective Cost / Yield

Model synchronized with CME cash-settlement index specs.

Export Trade Audit (JSON)

Institutional Mechanics & CME Contract Specs

🏛️ Cash-Settled Index Parity

CME crypto futures settle directly against CME CF Reference Rates calculated between 3:00 PM and 4:00 PM London time. There is no physical delivery risk: convergence to spot at expiry is mathematically guaranteed by the cash settlement fixing.

⚖️ Cash-and-Carry Mechanics

When futures trade at a premium to spot (contango), an arbitrageur buys spot tokens and simultaneously sells futures contracts. Locking the spread eliminates directional price risk while generating fixed annualized yield.

🛡️ Collateral & Margin Buffer

Because CME margin is mark-to-market daily, an adverse spot surge requires variation margin in USD at the clearinghouse even while spot coin appreciated. The model factors in a 20% cushion above standard maintenance margin.