What to know:

  • Open interest on the CME exchange has seen an almost 30,000 BTC reduction since Nov. 20.
  • In the same period, net inflows into the U.S. spot-listed ETFs were more than $3 billion.
  • On Nov. 29, open interest on the CME exchange posted its biggest one-day decline ever.

As a seasoned market analyst with over two decades of experience under my belt, I’ve seen my fair share of market dynamics and their intricacies. The recent trends in the bitcoin market are intriguing, to say the least. The surge in net inflows into U.S.-listed spot ETFs, while the open interest on CME futures is dwindling, suggests a shift in strategy among institutional players.


There’s been some unexpected movement in the Bitcoin market, suggesting a rise in the use of U.S.-based ETFs for simple bets on the direction of Bitcoin prices, instead of traditional arbitrage tactics.

As a researcher, from November 20th onward, Exchange-Traded Funds (ETFs) have experienced robust daily investments, with exceptions being November 25th and 26th. These funds have amassed over $3 billion in net inflows as reported by Farside Investors. Notably, BlackRock’s IBIT recorded a staggering $693.3 million net inflow on Tuesday, marking the highest since the start of this period, boosting its lifetime total to an impressive $32.8 billion.

Currently, there’s a noticeable decrease in the involvement with Bitcoin futures traded on CME, with the open interest dropping approximately 30,000 Bitcoins (equivalent to $3 billion) down to 185,485 BTC, as per data from Glassnode.

It’s possible that the divergence you see indicates investors are purchasing ETFs more as optimistic bets (bullish plays) instead of using them for a strategy that doesn’t affect the market price (cash-and-carry strategy). This could be an atypical occurrence.

Ever since the introduction of ETFs in January, institutions have predominantly employed a specific strategy that involves holding a long position in the ETF and a short position in CME futures. This dual stance allows them to capitalize on the futures premium while avoiding price risks, which is why we often observe a parallel trend between ETF investments and open interest on the CME.

Carry yield is still attractive

Note that the carry strategy is still attractive, offering returns far more attractive than the U.S. 10-year Treasury note or ether’s staking yield.

From my current perspective as a researcher, I find that the three-month compounded rate in CME’s Bitcoin futures stands at approximately 16%. To put it simply, engaging in a cash and carry trade under these conditions would generate a return of 16%. However, it is important to note that this figure pales in comparison to the actual growth of Bitcoin this year, which has surpassed 100% as I write.

In the initial quarter, the cash-and-carry return (which can be compared to the futures premium) reached an elevated level of more than 20%.

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2024-12-04 16:14