Two Wall Street desks can hold the same Bitcoin exposure but pay meaningfully different amounts, depending on whether they use IBIT options or CME Bitcoin futures. A May 2026 study by Purdue professor Mindy Mallory compared 386 matched observations and found that the annualized carry in CME futures exceeded the fee-adjusted carry from IBIT options by an average of 2.581 percentage points. On a $1 billion position, that gap works out to roughly $25.81 million over a year.
A 2.6-point gap on a $1B position
The difference wasn't uniform. The standard deviation hit 4.716 percentage points, and the spread occasionally flipped direction — the 5th percentile was -4.767 points, meaning IBIT options were sometimes the pricier route. At the 95th percentile, CME futures cost 10.418 points more. The gap also widened with maturity: contracts in the 14-30 day window averaged 2.222 points, while the 31-60 day window averaged 2.939 points. Longer-dated IBIT options, 61-90 days, were too thin for stable comparisons and got excluded.
Two clearing houses, one asset
The study highlights a structural quirk: Bitcoin's regulated products sit in separate systems that don't behave as an integrated market. IBIT options clear through the Options Clearing Corporation (OCC), while CME futures clear through CME Clearing. Both routes were benchmarked against the CME CF Bitcoin Reference Rate New York Variant, so the price anchor was the same. The cost difference, Mallory's data suggests, comes from the collateral and margin mechanics unique to each clearing house.
What the data doesn't say
The study doesn't claim arbitrage is easy. The 2.581-point average is an after-fee, after-margin comparison, and the wide standard deviation means the gap can shrink or reverse without warning. Still, the persistent premium on CME futures raises a question: if two regulated venues price the same underlying asset differently, what does that say about market efficiency? The paper doesn't answer that directly, but the numbers are hard to ignore.
Mallory's work is one of the first head-to-head comparisons of these two popular Bitcoin exposure routes. Whether traders will shift flows to narrow the gap — or whether the gap is structural enough to persist — remains an open question.
