Relevance
7/10
Highly relevant for traders executing bitcoin carry trades across ETF-options and futures venues. The 2.58% mean annual wedge quantifies the cost of cross-rail arbitrage and informs venue selection for hedging and carry capture. Directly applicable to basis trading, options market-making on crypto ETFs, and capital efficiency optimization in crypto-exposure portfolios. The segmentation insight is actionable for designing cross-venue hedging strategies and understanding funding costs in regulated bitcoin markets.
Implementation Complexity
5/10
Moderate complexity. Requires access to OptionMetrics IvyDB US for IBIT option quotes, Barchart for CME futures, BlackRock holdings files, and CF Benchmarks for BRRNY. The core computation (put-call parity, holdings ratio scaling, annualized carry, wedge) is straightforward. Main challenges include data merging across sources, sample selection filtering, maturity bucket matching, and handling American-style option approximations. No ML model training required.
Reproducibility
2/5
Data is not publicly available due to licensed vendor restrictions (OptionMetrics IvyDB US, Barchart futures data). Code can be made available upon reasonable request subject to vendor data restrictions. The methodology is transparent and well-documented, but the proprietary data sources limit full reproducibility. IBIT holdings files and BRRNY/BRR benchmarks are publicly accessible.