The Bitcoin Futures Trading Thread

[sonatine]

https://ninjatrader.com/Micro-Bitcoin-Futures

pretty fucking interesting opportunity...

[sonatine]

https://www.cmegroup.com/activetrade...S%5d_final.pdf

if im reading this right, settlement is friday (not daily) so you can open a contract and swing it for nearly a week... grain of salt cuz im skimming but thats fucking cool if true.

[sonatine]

so I finally had some time to really tuck into this shit and its absolutely wild.

here's the important parts....

so there are two futures offered for bitcoin, micro contracts and mini contracts. there are probably 5 times as much volume on micros:





each btc micro is worth 1/10th of a bitcoin. so the margin requirements are fairly tame by extension, you can start trading them with only about $5000 capital.

every btc mini is worth 5 bitcoins. so every dollar bitcoin moves, youre collecting $5.

ummmmm this is fucking bonkers.

[sonatine]

some interesting data regarding fees:




50 MBT contracts = 1 BTC contract... 1 BTC contract costs about $6, 50 MBT contracts cost about $150.

average MBT/BTC spread is between $60 and $80. so the second you take a 50 contract MBT long position, its worth approximately $350 less than the current ask. roll in the fees and youre entering positions at a $500 deficit.

so basically you have to fade a 1.35% move in price before youre able to close in profit with MBT.

with BTC, youre in profit after a .95% shift in price, but heres the rub... there is much less liquidity in the BTC futures pool. so you have to factor in slippage.

also its really early in the morning here, markets havent opened yet, and i feel like even tho the spread on these contracts is very conservative right now ( $60 - $80 on average )... I seem to recall it hitting the $200'ish range on previous days. obviously as liquidity improves, spread gets smaller, at least in theory...

in any case.. if youre targeting a $1000 swing on 10 MBT mini contracts, youre going to eat about $70 in spread and $30 in fees, so youre paying about 10% rake on the transaction.

and thats really not that terrible.. if youre holding for 12 hours you can expect an average swing in the $1500 range and generate some fairly reliable signals to enter/exit profitably around the $1000 mark. and during chop youre still probably looking at $200 to $300 profit off $400'ish spikes through your moving average.

so yeah the more i look at this shit, the more interested i get.