A May 2026 Purdue study found the annualized carry in CME Bitcoin futures ran an average 2.581 percentage points above the same exposure rebuilt from IBIT options — roughly $25.81 million a year on a $1 billion position. The paper found the gap varied substantially across dates and sometimes reversed. Options and futures sit in separate clearing systems that don’t always treat the two legs as one hedge.
Two Wall Street desks can hold economically similar Bitcoin exposure and still pay materially different amounts to keep it open — not because one made a better market call, but because the products carrying the positions sit inside collateral systems that don’t always recognize them as parts of the same hedge.
One desk can reconstruct a forward Bitcoin position from matching calls and puts on BlackRock’s iShares Bitcoin Trust (IBIT), while another obtains comparable exposure through a cash-settled CME Bitcoin futures contract with a similar maturity. The economic risk is closely related. The financing cost isn’t.
A May 2026 study by Purdue University professor Mindy Mallory compared 386 matched observations and found the annualized carry embedded in CME Bitcoin futures exceeded the fee-adjusted carry reconstructed from IBIT options by an average of 2.581 percentage points. Applied purely as an illustration, that gap on a $1 billion position would correspond to approximately $25.81 million over a full year, although the paper doesn’t describe the wedge as a fixed fee.
The wedge swings, and sometimes flips
That average is not a daily surcharge. The study reported a standard deviation of 4.716 percentage points, a fifth-percentile reading of negative 4.767 points and a ninety-fifth-percentile reading of 10.418 points, showing that CME wasn’t always the more expensive route.
Maturity mattered as well. Positions in the 14-to-30-day window produced an average wedge of 2.222 points, while those in the 31-to-60-day window averaged 2.939 points, with 193 observations in each group.
Why arbitrage doesn’t erase it
In a fully integrated market, arbitrage capital would buy the cheaper exposure and sell the more expensive one until the two prices came back together. But IBIT shares and listed options occupy securities-market infrastructure, while CME futures use a separate futures clearinghouse, margin cycle and collateral framework.
The Options Clearing Corporation and CME operate a cross-margin program that recognizes eligible offsetting positions held at different clearinghouses. However, OCC states that participation is generally limited to clearing members, their affiliates and certain market professionals. A company can therefore carry little net Bitcoin price exposure and still be required to support two separate margin pools.
Who ends up paying
Relative-value funds feel the friction most directly, because their strategies frequently pair one Bitcoin product against another, leaving them economically hedged while requiring collateral in more than one location. Market makers can transfer the cost less visibly through wider bid-ask spreads, option premiums and implied volatility.
Against those larger variables, IBIT’s stated 0.25% sponsor fee can become one of the smaller components of the total holding cost. CME extended its cryptocurrency futures and options market to 24-hour, seven-day trading on May 29, closing the weekend gap — yet US equity and listed-options markets remain closed through the weekend, so the other side of a cross-market position stays unavailable until they reopen.
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