If cash-and-carry arbitrage bounds exist, the key issue is the costs (or benefits) of holding spot positions in BTC. Consider first the long side. If you buy one BTC (and sell the futures contract) and hold it to the futures settlement date, how exactly do you store it? Can you lend it out (invest) and earn interest on it? If so, how does it work? That is, is there a way to deliver to someone else your BTC on the blockchain? If so, is the loan secured by any collateral? Under what legal jurisdiction could you attempt to enforce the lending contract? What interest rate can you earn in BTC?