Right now 1 BTC on Gemini (the reference exchange for CBOE Bitcoin futures) is $16,600 and the futures price is $17,800 for a 1 or 2 month contract. Since the r

Right now 1 BTC on Gemini (the reference exchange for CBOE Bitcoin futures) is $16,600 and the futures price is $17,800 for a 1 or 2 month contract. Since the risk free rate is about 0.125% monthly and this spread is 7.2%, it looks like the market is pricing the counter-party risk at about 7% for one or two month durations. That seems pretty high to me though, you can arbitrage on Coinbase and Gemini which are both US based regulated exchanges (they have licenses, insurance, and audits) with what I would expect to be less than 7%/month risk. Perhaps there just aren't many arbitragers with access to the futures market and knowledge of Gemini/Coinbase yet. I'd arbitrage it myself but I have no retail brokerage access to shorting the future contracts. Further evidence the market just isn't acting efficiently yet: volume of 3.43k contracts today, which is only $61M. The 24 hour trade volume of the top 5 Bitcoin exchanges is $5 billion.