Matt Levine, Columnist

Bitcoin Arbitrage and Tax Math

Also machine learning, ambiguity and unicorn options.

December 12, 2017 at 2:58 PM UTC

Matt Levine is a Bloomberg Opinion columnist. A former investment banker at Goldman Sachs, he was a mergers and acquisitions lawyer at Wachtell, Lipton, Rosen & Katz; a clerk for the U.S. Court of Appeals for the 3rd Circuit; and an editor of Dealbreaker.

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So, bitcoin.

We talked yesterday about the launch of bitcoin futures at Cboe Global Markets Inc., and about the fact that a January bitcoin future was going for about $1,000 more than a bitcoin today. "When regular trading hours start today," I said, "you might expect more professionals to come in and arbitrage away some of the price differences," but nah: As of 8:15 this morning, the futures were still more than $1,000 above the spot price. You could borrow $16,889, buy one bitcoin, sell a future for $18,000 on Cboe, wait a month, sell the bitcoin and deliver the cash to settle the future. The extra $1,111 -- minus your cost of borrowing -- would be risk-free profit. Everyone finds it a little odd: