[JumpCrisscross]

> In theory you should be able to arbitrage by purchasing a bitcoin and shorting the futures contract to collect that sweet 2% per month

Variation margin. Shorting the future requires you put up cash. If the price goes up, you have to put up more cash. One could hedge away part of this by holding Bitcoin and borrowing against it. But those lending channels are costly and not presently reliable.

TL; DR That 27% spread [1] includes more than just systemic risk.

[1] (1 + 2%) ^ 12 - 1

[arcticbull]

Not entirely, right, shorting the future requires you put up margin. Current maintenance margin requirement is about $100,000 per contract, which covers 5 BTC, notionally $258,000.

Margin interest at the institutional level is 0.75% per year, so you're free to collateralize your position with something other than cash or bitcoin. You could have 1 short /BTCG1, collateralized by a portfolio of other investments, and buy BTC to cover at an exchange somewhere.

Yeah it's not risk free, but it's certainly not 27% per annum.

I do agree it's a simplification, however.

[JumpCrisscross]

> Current maintenance margin requirement is about $100,000 per contract, which covers 5 BTC, notionally $258,000.

If the price changes this goes up. With something as volatile as Bitcoin, that’s a material risk.