$BRR (De-SPAC): The “Bitcoin Treasury” Arbitrage. Why 95% Redemptions + Zero Borrow Availability Creates a Massive Supply Dislocation.

TL;DR:
Ticker: $BRR (merging with ProCap).
The Play: 12/19 $12.50 Calls.
The Thesis: Extreme supply dislocation due to redemption mechanics and "math robot" arbitrage funds exiting.
I’ve been digging into the mechanics of this De-SPAC, and the market structure setup is creating a massive asymmetry.
1. The "Arb" Prisoner’s Dilemma (Why Supply Vanishes)
The SPAC holds Bitcoin bought at ~$103k. BTC is currently ~$90k.
The Arbitrage Funds (who own ~90% of the float) act like math robots. They have two choices:
• Option A: Redeem shares for ~$10.05 cash (Risk-Free).
• Option B: Hold a stock with "underwater" Bitcoin.
The Outcome: Rational funds will redeem to protect NAV. This isn't a guess; it's basic fund mandate logic.
2. The Liquidity Vacuum
People see "20M Institutional Shares" and assume liquidity. That is false. Those shares are largely custodial or hedged. When the Arbs redeem 90-95% of their shares on Tuesday, the effective trading float drops to <1M shares. We saw similar mechanics with stocks where "locked" supply created violent repricing.
3. Zero Inventory (See Image)
There is currently 0 inventory available to borrow.
This creates a "dry powder" situation. Any buy-side volume (retail or institutional) hits a supply wall because there is simply no stock available to lend or sell.
The Trade:
I’m long 12/19 $12.50 Calls.
If redemptions come in high (as the math suggests they must), the repricing of the remaining float could be violent due to the lack of sellers.
• Bear Case: Low redemptions -> Stock trades near NAV ($10.50).
• Bull Case: High redemptions -> Supply dislocation -> Repricing to premium ($13-$15).
Proof:
(Upload your "0 Shares to Borrow" screenshot here)
(Upload your Position screenshot here)
Disclaimer: I am long $BRR. Do your own DD.