חוזים עתידיים של ביטקוין יכולים להיות מלכודת למשקיעים
The US Securities and Exchange Commission has done a good deed for all crypto investors by adopting the first Bitcoin ETFs this week. Of course, such an event could not pass by the main crypto-asset it immediately reacted with a rise to $66,900 on Binance, setting a new ATH near the level of $67,000. But in reality, BTC-ETF futures can be a terrible proposition for fund investors.
The main thorn for them can become a phenomenon common in the futures markets called contango. Because of it, the managers of the ProShares Bitcoin Strategy ETF can incur several times less profit than if they invested directly in Bitcoin itself. At the same time, the volume of losses may turn out to be so critical that the worries of the US SEC representatives about the volatility of Bitcoin will seem trivial.
Having chosen the futures option of the first BTC-ETFs and in every possible way rejecting the spot option, the SEC decided to choose the path of least stumbling from the position of the financial regulator. In addition, Bitcoin futures are already regulated by another financial agency the Commodity Futures Trading Commission.
If the SEC went through the approval of at least one of the many applications filed by cryptocurrency companies for a spot Bitcoin-ETF in recent years, the agency would have doomed itself to a lengthy process of approving a price quoted on exchanges, whose placement of a crypto asset was not regulated either by the SEC itself or even more so. CFTC. Although today there are complex, but rather transparent indices that would significantly simplify the agency's adoption of the BTC-ETF.
Contango problems will overtake investors when the value of long-term futures contracts becomes higher than the price of short-term ones. ETF managers will have to "tighten up the contract" every month, being forced to sell the cheaper contract of the current month, which expires, and purchase the contract for the next month at a higher price. So, the more the contango effect is felt, the more the futures strategy will be below the value of the underlying asset tracked by the futures contracts.
The “negative monthly return” for Bitcoin futures has been around 2.29% in recent years. In other words, if investors bought shares in companies that issued BTC-ETF futures, their total value would be about 28% compared to the spot market.
At the same time, the average monthly yield of Bitcoin futures is higher than the average contango price for crude oil futures by 1.69% per month and slightly lower than the indicators of unleaded gasoline 2.85%. That is significantly higher than the monthly spending on contango on "gold futures", hovering on average at around 0.23%.
In the case of raw materials, the contango effect manifests itself at the expense of storage costs, which increase over time, due to which, among other things, long-term futures contracts become more expensive. Costs also depend on the type of commodity if oil and gasoline are more difficult to store, then gold storage, for example, does not cause such difficulties. This is where a certain discrepancy arises between them in the average negative profitability.
As for Bitcoin, holding an asset that is in contango 58% of the time is even cheaper than the most “win-win” asset in the form of gold. Its tendency towards the manifestation of contango is mainly associated with the overestimated expectations of the bulls regarding the value of the main cryptocurrency. As such, managing Bitcoin futures is more complex than managing commodity futures.
Given that the total cost of storing goods only increases over time, the maximum cost of increasing the shelf life tends to decrease depending on how long the goods are stored. That is, the negative return on contango for longer-term futures is often less. Experienced investors know how to recover losses from short-term contracts by purchasing those that have a longer shelf life.
Another challenge for futures-backed ETFs is that fund managers have to keep more cash on hand to cover recurring payments. This generates costs over time as funds are not affected by Bitcoin income. At the same time, spot Bitcoin ETFs can easily invest most of their cash.
Today, investor demand for BTC-ETFs from ProShares has been so strong that it has not only exceeded the 1 billion in assets under management but also approached the CME limits. The latter, in turn, increased the limit in November from 2,000 to 4,000 contracts, easing the pressure on ProShares' BITO. In addition, the emergence of BTC-ETF futures from VanEck and Valkyrie will also help unload ProShares.
However, if the reaction of depositors to the low efficiency of the fund in comparison with the rising prices of Bitcoin in the spot market turns out to be negative, this may well lead to their stampede. To avoid such a fate, the SEC has an effective tool up its sleeve, hotly anticipated by many members of the cryptocurrency community the spot Bitcoin ETF. And when the department finally approves is only a matter of time.
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