Bitcoin futures valuation. Non-financial variables to consider

Abstract

Bitcoin, Futuros, Valoración

According to the traditional models based on the Cost-of-Carry Model, a cash-settled future with a nonpaying dividend underlying should be valued basically by adding the cost of carry to the spot price. We pose two questions: does this model of valuation apply to Bitcoin futures? And the second one: do the real base and the theoretical base (calculat-ed comparing real futures price and theoretical futures price versus spot price, respectively) match following the traditional valuation models? We must recognize that the answer to both questions is complex and end up being negative. In point of fact, if we calculate the difference between Bitcoin futures price and the spot price, we discovered that the first is valued below the second on more than the 39.5% of the trading days (negative base)