Bitcoin traders and watchers have been busy heralding the entrance of cryptocurrencies futures. What they should really be focused on is the exit.

The first 24 hours of the Cboe Global Markets Inc.'s bitcoin futures contract went pretty well. By Monday evening, 3,969 of the Cboe's main January contracts had been bought and sold -- not big by established futures market standards, but more than many people expected. With some brokers barring shorting, there was some concerns that buyers wouldn't be able to find sellers. That didn't happen. There also wasn't a huge flood of people waiting to bet against bitcoin and driving the price of the contract down. Instead, it ended up $3,545 on the day at $18,545. Bitcoin rose, too. 

As much as bitcoin bulls might want to use the smooth start of trading to contend that the cryptocurrency and its price are more solid than critics contend, the real test won't come until Jan. 17. That's when the Cboe's first main contract expires. And as any futures trader knows, getting out can be trickier than getting in.

There already are some troublesome signs. On Tuesday, the price of the January contract was down $815, and volume was much lower in the second day of trading. But the biggest problem could be the persistent, and unusually large, gap between the price of bitcoins and the futures contract. That spread was more than $1,000, or 6 percent, as of Tuesday morning, though it had been double that a day earlier.

Gaps often persist between current and futures prices, but they tend to be relatively small. That's because they normally create nearly risk-free arbitrage opportunities -- often called the carry trade. Buying the commodity or currency, in this case bitcoin, and selling the futures allows you to lock in a profit between the difference of the two when the contract expires. As more traders pile in to capture this spread, that gap tends to close, and you'd think that would be the case with bitcoin: Opportunities for 6 percent monthly returns aren't that widely available these days, or ever. That raises the question of why traders weren't rushing in to grab this obvious free lunch. 

Here's where the exit problem could be coming in. The Cboe's contract is tied to the price of bitcoins on a single exchange, Gemini. (CME Group's contract will be based on an average price of four different exchanges.) Billions of dollars of bitcoins trade a day, but only a fraction of that on Gemini, perhaps a few hundred million on a good day. More than $70 million in bitcoin contracts have already been bought. That could create a lot of selling when those contracts expire.

On top of that, hedged traders could try to drive down the price of bitcoin on Gemini shortly before the contract expires in order to buy it back cheaply and sell it on another exchange at a higher price, according to Timothy Tam, a co-founder of CoinFi, a cryptocurrency market intelligence platform. If all that selling instead causes Gemini to freeze up, or worse, creates essentially a run on the exchange, arbs wouldn't be able to get cash back for their bitcoins, wiping out any profits from the carry trade and then some.

There could be other reasons for the gap. Craig Pirrong, a finance professor at the University of Houston, says new futures markets tend to feature larger spreads. What's more, high margin requirements are sapping some of the profits out of the bitcoin carry trade, though not enough to make it unattractive in the current low interest-rate environment.

A full run on the Gemini exchange, which is backed by the Winklevoss twins of Facebook and now bitcoin fame, seems unlikely. But the longer the gap in the bitcoin futures market goes unexploited, the more it suggests there are costs and risks the bulls may be missing. 

This column does not necessarily reflect the opinion of Bloomberg LP and its owners.

Stephen Gandel is a Bloomberg Gadfly columnist covering equity markets. He was previously a deputy digital editor for Fortune and an economics blogger at Time. He has also covered finance and the housing market.

To contact the author of this story: Stephen Gandel in New York at sgandel2@bloomberg.net.

To contact the editor responsible for this story: Beth Williams at bewilliams@bloomberg.net.

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