Date Bitcoin Spot Bitcoin Reference Rate BTC Futures (Generic)

2/9/2018 8552.65 8364.71 8600

2/10/2018 8449.76

2/11/2018 8315.1 8390

2/12/2018 8831.25 8610.75 8885

2/13/2018 8557.91 8533.68 8730

2/14/2018 9287.96 9251.01 9350

2/15/2018 9873.45 9842.22 10135

2/16/2018 10088.2 10080.22 10070

2/17/2018 10717.11

2/18/2018 10784.81 10807.87

2/19/2018 11081.41 11116.08

2/20/2018 11705.73 11459.58 11750

2/21/2018 10286.84 10568.12 10370

2/22/2018 9915.69 10012.08 10095

2/23/2018 9920.01 10319.43 9950

2/24/2018 9788.43

2/25/2018 9596.64 9356.44

2/26/2018 10380.3 10208.26 10250

2/27/2018 10755.9 10553.75 10660

2/28/2018 10538.02 10527.28 10645

3/1/2018 10933.75 10700.68 11065

3/2/2018 11029.95 10839.32 11060

3/3/2018 11425.06

3/4/2018 11400.19 11109.25

3/5/2018 11555.99 11479.82 11615

3/6/2018 10790.35 10991.8 10650

3/7/2018 9939.53 10648.91 9790

3/8/2018 9330.23 9883.58 9400

3/9/2018 9004.84 9016.25 9015

3/10/2018 9421.8

3/11/2018 9613.95 9168.2

3/12/2018 9017.65 9259.61 8910

3/13/2018 9062.92 9051.47 9070

3/14/2018 8304.32 8706.28 8275

3/15/2018 8251.71 8053.44 8235

3/16/2018 8524.17 8511.12 8555

3/17/2018 7902.07

3/18/2018 7655.03 7420.11

3/19/2018 8427.2 8562.24 8400

3/20/2018 8920.33 8539.32 8945

3/21/2018 8895.59 9118.52 8890

3/22/2018 8598.85 8565.83 8630

3/23/2018 8616.25 8621.8 8615

3/24/2018 8948.74

3/25/2018 8605.14 8573.48

3/26/2018 7888.84 8071.45 7910

3/27/2018 7990.87 8063.27 7895

3/28/2018 7906.96 7928.96 7875

3/29/2018 7098.14 7389.91 7389.91

3/30/2018 6852.51 6874.72

3/31/2018 7025.94

4/1/2018 6890.64 6505.08

4/2/2018 6937.38 6936.23 6995

4/3/2018 7401.4 7329.22 7475

4/4/2018 6830.76 6890.76 6875

4/5/2018 6749.55 6841.89 6765

4/6/2018 6604.48 6612.78 6630

4/7/2018 6855.94

4/8/2018 6955.33 7057

4/9/2018 6662.14 6714.79 6680

4/10/2018 6839.62 6749.86 6845

4/11/2018 6891.03 6942.28 6920

4/12/2018 7730.47 7679.3 7690

4/13/2018 7903.91 8098.23 8115

4/14/2018 7958.95

4/15/2018 8287.52 8350.05

4/16/2018 7986.06 7966.43 7980

4/17/2018 7914.7 8099.46 7880

4/18/2018 8187.53 8083.39 8130

4/19/2018 8233.85 8219.97 8260

4/20/2018 8524.52 8500.75 8530

4/21/2018 8770.77

4/22/2018 8893.04 8939.04

4/23/2018 8932.25 8903.54 8860

4/24/2018 9449.88 9285.56 9475

4/25/2018 9073.19 8887.91 9010

4/26/2018 9118.96 8802.82 8905

4/27/2018 8977.07 9231.12 9095

4/28/2018 9357.37

4/29/2018 9295.78 9313.15

4/30/2018 9272.7 9265.07 9365

5/1/2018 9015.73 8905.41 8990

5/2/2018 9175.76 9084.82 9160

5/3/2018 9652.04 9418.5 9685

5/4/2018 9683.54 9655.1 9690

5/5/2018 9915.2

5/6/2018 9514.36 9535.5

5/7/2018 9437.62 9254.99 9470

5/8/2018 9160.97 9130.57 9260

5/9/2018 9248.19 9269.39 9300

5/10/2018 9092.67 9336.98 9110

5/11/2018 8432.01 8599.91 8650

5/12/2018 8509.89

5/13/2018 8714.52 8593.56

5/14/2018 8811.66 8739.18 8780

5/15/2018 8518.76 8632.83 8580

5/16/2018 8291.23 8202.02 8300

5/17/2018 8204.05 8313.52 8200

5/18/2018 8229.58 8072.89 8250

5/19/2018 8317.17

5/20/2018 8554.55 8339.6

5/21/2018 8406.89 8419.8 8390

5/22/2018 8108.52 8225.58 8185

5/23/2018 7590 7878.71 7600

5/24/2018 7552.45 7502.85 7600

5/25/2018 7448.08 7493.94 7440

5/26/2018 7530.95

5/27/2018 7314.74 7316.67

5/28/2018 7214.8 7269.67

5/29/2018 7501.54 7423.04 7495

5/30/2018 7337.26 7474.95 7320

5/31/2018 7538.28 7540.07 7545

6/1/2018 7437.74 7420.56 7440

6/2/2018 7634.43

6/3/2018 7724.98 7707.47

6/4/2018 7525.77 7480.08 7500

6/5/2018 7629.53 7400.85 7625

6/6/2018 7619.32 7630.77 7540

6/7/2018 7660.06 7688.24 7705

6/8/2018 7646.28 7580.01 7655

6/9/2018 7597.07

6/10/2018 6710.06 7261.29

6/11/2018 6760.89 6727.15 6750

6/12/2018 6531.39 6758.43 6500

6/13/2018 6260.96 6439.03 6270

6/14/2018 6658.78 6405.1 6635

6/15/2018 6497.97 6512.51 6530

6/16/2018 6408.62

6/17/2018 6491 6479.92

6/18/2018 6727.55 6441.85 6695

6/19/2018 6695.44 6745.63 6735

6/20/2018 6748.89 6753.59 6745

6/21/2018 6719.47 6717.16 6710

6/22/2018 6070.19 6171.12 6165

6/23/2018 6134.99

6/24/2018 6189.28 5927.89

6/25/2018 6250.81 6242.84 6245

6/26/2018 6181.64 6173.72 6160

6/27/2018 6124.96 6063.64 6160

6/28/2018 6044.92 6104.83 6085

6/29/2018 5899.64 5885.88 5885.88

6/30/2018 6363.78

7/1/2018 6348.59 6320.65

7/2/2018 6620.01 6608.76 6635

7/3/2018 6613.86 6570.08 6590

7/4/2018 6686.23 6699.27

7/5/2018 6507.68 6589.57 6520

7/6/2018 6570.76 6560.7 6575

7/7/2018 6562.26

7/8/2018 6743 6736.56

7/9/2018 6695.86 6717.54 6710

7/10/2018 6387.83 6366.37 6370

7/11/2018 6354.19 6359.41 6345

7/12/2018 6172.95 6182.42 6165

7/13/2018 6185.23 6248.51 6175

7/14/2018 6241.87

7/15/2018 6372.23 6344.68

7/16/2018 6661.85 6612.69 6680

7/17/2018 7314 6716.69 7325

7/18/2018 7336.6 7457.8 7415

7/19/2018 7418.83 7452.02 7480

7/20/2018 7351.07 7470.69 7365

7/21/2018 7361.88

7/22/2018 7523.48 7471.5

7/23/2018 7702.88 7704.18 7790

7/24/2018 8227.05 8197.5 8290

7/25/2018 8176.35 8188.07 8160

7/26/2018 8138.47 8197.91 8285

7/27/2018 8225.12 7855.26 8215

7/28/2018 8145.31

7/29/2018 8193.47 8216.91

7/30/2018 8146.16 8133.32 8100

7/31/2018 7689.43 7729.25 7725

8/1/2018 7482.23 7600.18 7540

8/2/2018 7546.53 7529.93 7525

8/3/2018 7388.58 7465.07 7365

8/4/2018 7119.71

8/5/2018 7049.57 6935.59

8/6/2018 6919.84 6931.99 6925

8/7/2018 6877.76 7072.67 6975

8/8/2018 6316.9 6460.51 6330

8/9/2018 6507.67 6456.3 6465

8/10/2018 6191.24 6438.17 6395

8/11/2018 6121.72

8/12/2018 6339.47 6311.11

8/13/2018 6277.69 6391.67 6230

8/14/2018 6074.26 6079.9 6075

8/15/2018 6374.87 6365.39 6370

8/16/2018 6255.1 6340.95 6410

8/17/2018 6480.85 6468.48 6480

8/18/2018 6369.3

8/19/2018 6536.55 6446.39

8/20/2018 6455.22 6443.48 6430

8/21/2018 6451.86 6408.78 6420

8/22/2018 6331.13 6653.16 6405

8/23/2018 6418.67 6447.74 6395

8/24/2018 6611.44 6525.51 6595

8/25/2018 6706.13

8/26/2018 6678.58 6711.02

8/27/2018 6719.04 6722.45 6715

8/28/2018 7083.46 7060.2 7080

8/29/2018 7042.05 7083.81 6995

8/30/2018 6916.68 6862.07 6805

8/31/2018 7044.6 6925.56 7045

9/1/2018 7059.48

9/2/2018 7280.88 7218.37

9/3/2018 7298.59 7271.78

9/4/2018 7361.57 7369.3 7350

9/5/2018 6949.01 7009.45 6900

9/6/2018 6440.22 6462.3 6430

9/7/2018 6446.93 6443.11 6390

9/8/2018 6404.67

9/9/2018 6386.93 6388.03

9/10/2018 6301.63 6306.12 6265

9/11/2018 6253.25 6269.32 6230

9/12/2018 6305.47 6270.75 6290

9/13/2018 6467.47 6501.44 6435

9/14/2018 6535.01 6443.85 6525

9/15/2018 6549.02

9/16/2018 6500.09 6467.23

9/17/2018 6216.01 6360.82 6230

9/18/2018 6317.7 6359.37 6275

9/19/2018 6423.81 6310.56 6375

9/20/2018 6377.21 6416.86 6400

9/21/2018 6708.69 6725.11 6740

9/22/2018 6670.92

9/23/2018 6676.59 6720.42

9/24/2018 6626.29 6606.88 6610

9/25/2018 6386.6 6415.16 6355

9/26/2018 6497.72 6491.78 6485

9/27/2018 6694.08 6499.8 6655

9/28/2018 6643.42 6647.8 6647.8

9/29/2018 6534.12

9/30/2018 6561.3 6617.15

10/1/2018 6550.06 6526.02 6535

10/2/2018 6524.3 6531.93 6505

10/3/2018 6438.41 6465.84 6410

10/4/2018 6546.01 6541.51 6555

10/5/2018 6539.04 6541.74 6540

10/6/2018 6542.36

10/7/2018 6532.65 6524.39

10/8/2018 6623.01 6612.76 6630

10/9/2018 6579.83 6565.33 6580

10/10/2018 6534.38 6508.63 6535

10/11/2018 6204.33 6220.16 6165

10/12/2018 6214.23 6208.58 6175

10/13/2018 6198.14

10/14/2018 6217.26 6224.43

10/15/2018 6390.7 6383.52 6380

10/16/2018 6460.39 6442.07 6420

10/17/2018 6437.85 6429.16 6420

10/18/2018 6392.22 6437.13 6385

10/19/2018 6384.37 6379.32 6380

10/20/2018 6403.64

10/21/2018 6438.3 6446.32

10/22/2018 6413.52 6393.45 6385

10/23/2018 6390.78 6385.06 6395

10/24/2018 6425.61 6435.74 6415

10/25/2018 6400.44 6405.86 6400

10/26/2018 6401.99 6391.69 6390

10/27/2018 6396.11

10/28/2018 6395.61 6404.25

10/29/2018 6243.46 6275.66 6235

10/30/2018 6265.27 6264.62 6245

10/31/2018 6302.4 6261.93 6290

11/1/2018 6335.36 6306.2 6305

11/2/2018 6351.1 6363.46 6345

11/3/2018 6328.56

11/4/2018 6413.12 6364.84

11/5/2018 6400.96 6409.27 6385

11/6/2018 6420.95 6426.73 6410

11/7/2018 6501.65 6497.37 6500

11/8/2018 6419.5 6473.31 6410

11/9/2018 6326.2 6343.3 6330

11/10/2018 6362.58

11/11/2018 6314.2 6321.29

11/12/2018 6309.96 6358.19 6320

11/13/2018 6280.74 6286.73 6280

11/14/2018 5551.06 6138.9 5355

11/15/2018 5469.65 5406.86 5405

11/16/2018 5451.72 5544 5425

11/17/2018 5486.13

11/18/2018 5543.73 5528.07

11/19/2018 4785.55 5108.08 4815

11/20/2018 4337.68 4643.2 4225

11/21/2018 4450.42 4486.7 4375

11/22/2018 4427.83 4455.39

11/23/2018 4260.57 4278.61 4175

11/24/2018 4232.83

11/25/2018 4048.03 3743.52

11/26/2018 3663.84 3729.43 3605

11/27/2018 3767.37 3664.4 3700

11/28/2018 4221.02 4173.16 4285

11/29/2018 4183.59 4261.36 4175

11/30/2018 3930.38 3953 3930

12/1/2018 4152.7

12/2/2018 4148.09 4104.26

12/3/2018 3870.97 3829.5 3800

12/4/2018 3898.03 3992.42 3840

12/5/2018 3723.53 3821.81 3705

12/6/2018 3596.41 3624.51 3600

12/7/2018 3388.91 3379.26 3300

12/8/2018 3358.59

12/9/2018 3526.26 3513.66

12/10/2018 3400.92 3411.32 3375

12/11/2018 3373.78 3335.12 3320

12/12/2018 3440.18 3423.62 3420

12/13/2018 3254.81 3390.02 3215

12/14/2018 3156.89 3239.22 3145

12/15/2018 3138.97

12/16/2018 3203.6 3205.47

12/17/2018 3493.65 3390.02 3530

12/18/2018 3535.18 3533.12 3495

12/19/2018 3668.85 3781.28 3695

12/20/2018 3993.58 4032.5 3875

12/21/2018 3848.6 3991.98 3775

12/22/2018 3831.49

12/23/2018 3931.16

12/24/2018 4187.75 4070

12/25/2018 3725.95

12/26/2018 3728.54 3760

12/27/2018 3585.43 3736.5 3565

12/28/2018 3892.14 3708.56 3708.56

12/29/2018 3871.98

12/30/2018 3821.31 3810.12

12/31/2018 3674.18 3764.28 3635

1/1/2019 3720.6 3682.51

1/2/2019 3884.98 3825.11 3810

1/3/2019 3794.92 3839.76 3735

1/4/2019 3833.53 3748.11 3725

1/5/2019 3841.23

1/6/2019 4031.29 3829.33

1/7/2019 4005.34 4022.42 3960

1/8/2019 4000.42 4065.12 3965

1/9/2019 4003.99 3994.47 3970

1/10/2019 3782.1 3580

1/11/2019 3646.95 3600

1/12/2019 3623.83

1/13/2019 3516.03 3611.18

1/14/2019 3663.59 3594.27 3620

1/15/2019 3568.48 3635.08 3510

1/16/2019 3616.1 3525

1/17/2019 3600.43 3570

1/18/2019 3617.82 3545

1/19/2019 3709.59

1/20/2019 3538.45 3523.58

1/21/2019 3521.04 3536.34

1/22/2019 3574.52 3569.86 3540

1/23/2019 3544.51 3568.26 3500

1/24/2019 3570.93 3555.81 3520

1/25/2019 3558.51 3560 3495

1/26/2019 3564.53

1/27/2019 3541.27 3538.6

1/28/2019 3403.09 3365

1/29/2019 3401.14 3399.78 3355

1/30/2019 3432.64 3439.54 3395

1/31/2019 3417.04 3411.77 3385

2/1/2019 3448.51 3429.88 3415

2/2/2019 3432.78

2/3/2019 3395.68 3419.86

2/4/2019 3417.03 3408.72 3380

2/5/2019 3422.6 3418.51 3390

2/6/2019 3366.32 3364.78 3325

2/7/2019 3358.91 3363.48 3330

2/8/2019 3594.91 3422.24 3605

2/9/2019 3610.81

2/10/2019 3605.5 3592.48

2/11/2019 3591.59 3599.83 3595

2/12/2019 3576.31 3573.09 3595

2/13/2019 3571.42 3568.72 3555

2/14/2019 3570.02 3567.6 3555

2/15/2019 3564.79 3555.41 3555

2/16/2019 3598.52

2/17/2019 3585.56 3572.44

2/18/2019 3852.25 3796.42

2/19/2019 3887.89 3944.32 3935

2/20/2019 3912.98 3915.28 3940

2/21/2019 3897.72 3894.11 3900

2/22/2019 3941.75 3930.77 3930

2/23/2019 3924.58

2/24/2019 3787.61 3793.18

2/25/2019 3805.67 3784.41 3820

2/26/2019 3790.19 3810.18 3775

2/27/2019 3749.38 3799.44 3710

2/28/2019 3802.53 3831.83 3790

3/1/2019 3828.22 3817.06 3820

3/2/2019 3806.43

3/3/2019 3788.98 3793.75

3/4/2019 3699.76 3708 3690

3/5/2019 3833.97 3825.55 3835

3/6/2019 3845.71 3845.74 3840

3/7/2019 3871.42 3871.44 3870

3/8/2019 3868.84 3888.37 3890

3/9/2019 3927.55

3/10/2019 3896.7 3893.11

3/11/2019 3847.91 3838.7 3835

3/12/2019 3865.41 3862.08 3845

3/13/2019 3852.32 3846.53 3845

3/14/2019 3851.57 3853.8 3845

3/15/2019 3897.41 3896.42 3900

3/16/2019 3979.58

3/17/2019 3975.48 3970.88

3/18/2019 3971.19 3964.35 3960

3/19/2019 3991.47 3975.97 3995

3/20/2019 4009.47 4000.03 4010

3/21/2019 3973.24 3962.91 3965

3/22/2019 3977.74 3988.71 3980

3/23/2019 3971.13

3/24/2019 3958.02 3970.99

3/25/2019 3887.56 3961.05 3895

3/26/2019 3912.6 3911.27 3905

3/27/2019 4008.98 4005.79 4005

3/28/2019 4010.76 4015.07 4010

3/29/2019 4072.16 4079.36 4079.36

3/30/2019 4074.96

3/31/2019 4092.97 4091.86

4/1/2019 4126.69 4139.83 4125

4/2/2019 4802.47 4741.3 4775

4/3/2019 5296 5022.05 5150

4/4/2019 4847.05 5019.97 4840

4/5/2019 4999.01 5001.9 5015

4/6/2019 5018.2

4/7/2019 5142.94 5139.27

4/8/2019 5252.89 5212.97 5215

4/9/2019 5220.08 5203.14 5220

4/10/2019 5302.92 5268.04 5415

4/11/2019 5054.03 5037.74 5075

4/12/2019 5042.54 5073.75 5065

4/13/2019 5091.76

4/14/2019 5089.29 5071.79

4/15/2019 5021.53 5153.19 5010

4/16/2019 5185.02 5042.76 5200

4/17/2019 5221.26 5201.13 5240

4/18/2019 5308.57 5245.36 5305

4/19/2019 5269.97 5247.11

4/20/2019 5310.85

4/21/2019 5239.36 5266.31

4/22/2019 5365.89 5310.69 5395

4/23/2019 5580.07 5576.62 5600

4/24/2019 5435.81 5458.98 5435

4/25/2019 5495.18 5445.73 5490

4/26/2019 5097.52 5162.34 5080

4/27/2019 5167.88

4/28/2019 5129.43 5170.17

4/29/2019 5129.68 5156.93 5140

4/30/2019 5237.87 5262.67 5230

5/1/2019 5307.8 5289.67 5290

5/2/2019 5405.46 5373.29 5385

5/3/2019 5689.05 5750.55 5675

5/4/2019 5573.32

5/5/2019 5767.57 5714.19

5/6/2019 5693.95 5649.44 5740

5/7/2019 5844.63 5847.82 5840

5/8/2019 5900.67 5851.8 5895

5/9/2019 6080.72 6005.41 6055

5/10/2019 6291.33 6251.77 6360

5/12/2019 7172.67 7086.38

5/13/2019 7864.38 7453.59 7945

5/14/2019 7719.93 8085.65 7785

5/15/2019 8171.07 7965.31 8230

5/16/2019 7676.51 7939.81 7895

5/17/2019 7106.31 7203.74 7195

5/18/2019 7358.36

5/19/2019 7930.92

5/20/2019 7760.22 7850

5/21/2019 8086.18 7923.54 8050

5/22/2019 7832.46 7871.9 7965

5/23/2019 7878.46 7718.62 7820

5/24/2019 8112.36 8018.83 8095

5/25/2019 8054.04

5/26/2019 8582.04 7995.32

5/27/2019 8754.64 8796.63

5/28/2019 8687.79 8684.24 8775

5/29/2019 8646.35 8717.94 8755

5/30/2019 8463.48 8723.08 8680

5/31/2019 8503.38 8414.18 8535

6/1/2019 8511.78

6/2/2019 8687.43 8701.1

6/3/2019 8556.11 8454.01 8640

6/4/2019 7651.38 7972.66 7625

6/5/2019 7732.88 7734.9 7835

6/6/2019 7690.61 7687.87 7610

6/7/2019 7898.63 7967.53 8010

6/8/2019 7943.66

6/9/2019 7718.88 7747.28

6/10/2019 7943.46 7957.04 8010

6/11/2019 7926.36 7796.04 7920

6/12/2019 8120.45 8002.58 8195

6/13/2019 8261.05 8159.09 8285

6/14/2019 8452.83 8404.18 8440

6/15/2019 8680.08

6/16/2019 8932.64 9270.46

6/17/2019 9273.06 9327.22 9380

6/18/2019 9125.34 9143.17 9115

6/19/2019 9167.27 9102.29 9210

6/20/2019 9562.66 9338.8 9625

6/21/2019 9939.81 9787.4 9980

6/22/2019 10897.43

6/23/2019 10680.48

6/24/2019 10856.69 10890.28 10945

6/25/2019 11366.24 11311.05 11380

6/26/2019 12733.71 12847.73 13885

6/27/2019 10686.14 11652.16 10855

6/28/2019 12212.7 11763.79 11763.79

6/29/2019 11917.24

6/30/2019 11392.98 11073.7

7/1/2019 10481.86 10495.28 10510

7/2/2019 10714.88 10198.86 11120

7/3/2019 11378.23 11360.42 11510

7/4/2019 11721.74 11874.62

7/5/2019 11034 11311.8 11440

7/6/2019 11401.26

7/7/2019 11507.39 11383.12

7/8/2019 12207.1 11891.94 12640

7/9/2019 12401.88 12374.43 12970

7/10/2019 11778.8 12856.31 12440

7/11/2019 11146.07 11728.74 11825

7/12/2019 11907.36 11697.74 11870

7/13/2019 11377.35

7/14/2019 10641.23 10648.2

7/15/2019 10821.99 10526.03 11065

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12/6/2020 19248.35 19133.1

12/7/2020 19084.67 19225.69 19170

12/8/2020 18773.5 18836.59 18825

12/9/2020 18520.56 18350.59 18420

12/10/2020 18349.98 18028.22 18440

12/11/2020 18101.38 18064.95 18020

12/12/2020 18800.18 18387.56

12/13/2020 19178.3 19206.43

12/14/2020 19199.17 19231.47 19270

12/15/2020 19424.24 19406.98 19560

12/16/2020 21206.36 20673.03 20930

12/17/2020 22779.13 23152.67 22870

12/18/2020 22901.2 22491.52 22860

12/19/2020 23992.92 23528.34

12/20/2020 23385.77 23688.55

12/21/2020 23142.45 23077.91 22880

12/22/2020 23437.95 23497.61 23445

12/23/2020 23297.72 23658.53 23510

12/24/2020 23405.27 23196.73 23196.73

12/25/2020 24411.43 24109.76

12/26/2020 26670.1 25462.82

12/27/2020 26385.71 27288.17

12/28/2020 26599.22 27004.91 27755

12/29/2020 26895.14 26575.83 27810

12/30/2020 28904.39 28141.08 29790

12/31/2020 28996.28 28667.35 30000

1/1/2021 29250.59 29321.87

1/2/2021 31702.36 31516.97

1/3/2021 33591.73 33446.73

1/4/2021 31037.38 31876.21 32385

1/5/2021 33792.24 32153.46 35375

1/6/2021 35939.27 34687.97 37545

1/7/2021 39733 38527.93 40630

1/8/2021 40040.7 40982.22 40505

1/9/2021 40858.59 40702.47

1/10/2021 38048.82 39669.28

1/11/2021 33964.38 32502.46 34680

1/12/2021 34712.73 33894.71 35420

1/13/2021 37283.48 34524.5 37330

1/14/2021 38765.5 39664.37 40520

1/15/2021 36261.52 36299.57 36535

1/16/2021 35935.02 37335.16

1/17/2021 36533.95 35574.42

1/18/2021 36234.13 36374.48

1/19/2021 36489.64 37129.4 37575

1/20/2021 34913.08 34667.41 35875

A hedge fund manager focussing on exotic markets and instruments. In 2008, when

a pseudonymous software developer named Satoshi Nakamoto proposed Bitcoin in a widely circulated white paper, you made a conscious decision not to get involved in this market

based on the rationale that the cryptocurrency has no intrinsic value. Since then, Bitcoin

investors have made an unbelievably large amount of money. Last year alone, the

cryptocurrency has quadrupled in price, so, in spite of your best judgement, he have

decided to acquire 1,000 Bitcoin on an experimental basis. However, before initiating this

trade, you want to devise a strategy to lay off your Bitcoin price risk exposure quickly. The

Bitcoin futures contract, which has been trading actively on the CME Group's exchange since

late 2017, appears to be the best instrument for this purpose. This contract is written on the

CME CF Bitcoin Reference Rate (BRR), which is set daily, as of 4:00pm London time, and

published shortly thereafter. To assess the efficiency of this futures contract, you have

assembled a time-series dataset from Bloomberg consisting of Bitcoin, BRR, and Bitcoin

futures prices (see spreadsheet copy and paste as paste special in excel then select text). The sample period begins on February 9, 2018 and ends

today, on January 20, 2021.

A) The first step in your process is to clean up this dataset. This involves removing the

observations for which one or more data points are missing. The second step in your

process is to produce daily continuously compounded return series, Ln(Pt/Pt-1), for the

Bitcoin, BRR, and Bitcoin futures. To ensure that we are all on the same page, present

descriptive statistics (mean, standard deviation, minimum, p5, p25, p50 (median), p75,

p90, maximum, and total number of observations) for the six series. In the interest of

space, report these statistics in one single MS Word table (statistics in rows and variables

in columns). For clarity, use six decimal places for the return series.

B) Plot the Bitcoin, BRR, and Bitcoin price series on one graph and describe succinctly the

relationship that you observe between the three series.

C) Construct the time-series for the futures basis using Bitcoin and BRR as spot prices and

plot the two time-series on the same graph. Describe succinctly the difference that you

observe between the two series.

D) Present the pairwise correlation coefficient estimates between the Bitcoin, BRR, and

Bitcoin futures return series in a neatly constructed MS Word table, and describe briefly

the relationship that you observe between these series. In particular, which spot series

appears to be most closely correlated with the futures series?

E) Using the risk-minimizing hedging methodology, estimate the fraction of Bitcoin's price

risk exposure which may be eliminated with the Bitcoin futures contract. Estimate the

risk minimizing hedge ratio and determine whether this ratio is statistically significantly

different from a one-to-one hedge ratio. Perform this analysis for each spot price series

separately and report your results in a single MS Word table.

F) The hedging efficiency of the Bitcoin futures contract may have changed since the

product was launched. To investigate this question, split your sample period into three

subperiods of equal length and estimate the contract's hedging efficiency for each

subperiod. What do you conclude from this exercise?