Hidden $25M Cost in Wall Street Bitcoin Clearing

A Purdue University paper by professor Mindy Mallory, published May 2026, measured a persistent financing gap between IBIT options and CME cash-settled Bitcoin futures. The study matched 386 observations and found the annualized carry implied by CME futures exceeded the fee-adjusted carry reconstructed from IBIT options by an average of 2.581 percentage points. Applied to a $1 billion position, that average gap equals roughly $25.81 million over a year.

Mallory reconstructed forward Bitcoin exposure from pairs of calls and puts on BlackRock’s iShares Bitcoin Trust (IBIT) using put-call parity, then converted the ETF-implied forward into Bitcoin terms. She adjusted for IBIT’s disclosed Bitcoin-per-share ratio and the fund’s 0.25% annual sponsor fee. The CME futures leg was aligned to the CME CF Bitcoin Reference Rate New York Variant at the 4 p.m. New York close for direct comparison.

The sample average was 2.581 percentage points and the median was 2.521 points. Dispersion was large: the standard deviation was 4.716 points, the fifth percentile was negative 4.767 points, and the ninety-fifth percentile reached 10.418 points. The wedge tended to widen with maturity in the studied windows: positions with 14-to-30-day maturities averaged a 2.222-point gap, while 31-to-60-day positions averaged 2.939 points. The 61-to-90-day window was excluded because IBIT options were too thinly traded for stable comparisons.

The paper points to separate clearing and collateral systems as the main source of the difference. IBIT shares and listed options clear through securities-market infrastructure and the Options Clearing Corporation (OCC), while CME futures clear through CME Clearing with its own margin cycle and collateral rules. A cross-margin program between OCC and CME exists, but eligibility is generally limited to clearing members, their affiliates and certain qualified participants. Positions held across different accounts or legal wrappers will not automatically net into a single margin requirement.

Because of that legal and operational separation, firms may need to maintain multiple margin pools and meet distinct collateral demands even when net Bitcoin price exposure is small. The study notes other possible contributors to day-to-day differences, including market liquidity, ETF financing mechanics, option market depth and operational restrictions.

The paper identifies who is most exposed. Relative-value funds and basis traders that pair one Bitcoin instrument against another commonly hold hedged positions across securities and futures systems and therefore can face separate collateral requirements. Market makers may reflect financing costs in wider bid-ask spreads, higher option premiums or altered implied volatility. As a result, an ETF’s published sponsor fee does not by itself capture the total cost of holding a regulated Bitcoin exposure.

The study also documents a timing mismatch. On May 29, 2026, CME expanded cryptocurrency futures and options to 24/7 trading, allowing futures traders to react to weekend price moves. U.S. equity and listed-options markets remain closed on weekends, and weekend CME trades receive the next business day’s trade date for clearing and reporting. That difference in market hours can affect the ability of arbitrage capital to respond immediately when volatility rises.

Mallory’s results show the gap varied substantially across dates and occasionally reversed. The paper frames the finding as a quantification of how legally distinct wrappers for the same Bitcoin exposure can produce economically meaningful financing differences when collateral systems do not treat offsetting risk interchangeably.