After two days of trading, BITO has a little more than 1.2 Billion of AUM.
As of COB of 21 Oct 2021, these were the fund Holdings:
they bought an aggregated of 3,812 contracts. As each of them controls 5 Bitcoin, the market value of such a position is right around 1,221,000.
So this position, as expected, almost exactly covers the AUM of the fund.
On the CME website, we discover they hold a large percentage of the Open Interest (essentially, the position held open overnight) of the whole contract:
Bear in mind that each account has a position limit of 4,000 contracts (due to be reduced to 2,000 in the last three trading days).
Actually, BITO is the only player in the future market at the CME, and they are forced to buy.
This is reflecting on the measures.
First of all, all this buying sent the curve in contango again. Annualized future basis went crazy again, and cash and carry trades (selling future vs buying spot) are profitable again.
This is certified by the COT documents, which tells us that "Leveraged Funds" accounts are again turning short and shorter in the future
You see there is a correlation between leveraged accounts short and basis, and the causality flows from the first picture to the second: when the basis is high, those accounts try to profit from it, selling the future and buying the cash. As they sell, the basis compresses, and once they get to their target, they exit the position, closing their short and returning toward a neutral position.
