Thank you @Phyrex_Ni for the discussion. Here's an example of an arbitrage process:

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Thank you @Phyrex_Ni for the discussion—here’s an example of an arbitrage process:

  1. The spot ETF IBIT has a fund liquidation, leading to a large sell-off of $IBIT; a lot of $IBIT is sold at a discount.

  2. When there is a certain spread between (the $IBIT stock price) and (the BTC net value contained in each share of $IBIT), arbitrageurs buy the discounted $IBIT and sell BTC in the BTC spot/futures market to profit from the arbitrage.

  3. The seller of BTC doesn’t need market makers/arbitrageurs to hold BTC. For example, they can borrow BTC from the spot market to sell, or short BTC using U-margined contracts. As long as the arbitrageur has enough USD, they can sell enough BTC.

  4. This completes the transmission from $IBIT being sold to BTC being sold. For example, when a fund liquidation happens and a total $IBIT equivalent to 60,000 BTC is “sold at 95折,” all of it is bought by arbitrageurs, who simultaneously sell 60,000 BTC in the BTC spot/futures market.

  5. Arbitrageurs wait for the $IBIT discount to recover, then sell $IBIT at the normal price + simultaneously close the same amount of short positions. In this process, there is no $IBIT redemption of BTC.

  6. If the $IBIT discount doesn’t recover for a long time, or if arbitrageurs take on too much $IBIT and it causes liquidity risks, then the arbitrageurs will redeem $IBIT for BTC, then sell the spot BTC + close the equivalent short positions.

5 is the arbitrageurs’ main trading method, while 6 is a special case. Suppose a fund “smashes” the market with 60,000 BTC—then possibly 54,000 BTC gets hedged off, and only 6,000 BTC will go through the redemption route.

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