Both when the CBOE future expired and from now on, if the CME bitcoin future is originating settlement, there is an important decline in the bitcoin price. Both futures has a significant low volume and that i would reckon that they are covered with a single liquidity provider\/market maker. This market maker is probably short the long run and perhaps long the location. At expiry, they’ll profit if your price is low and have a border after settlement once the cost rebounds. Sadly both CME and CBOE has chosen a really bad settlement processes which are all to easy to manipulate. For CBOE it does not take auction price for Gemini – a young with a really small volume usually.
CME’s model is best, but nonetheless lower, VWAP for the four major exchanges a very good idea, in case that VWAP is calculated on only one minute of trading it’s meaningless. With few large participants, the volume on a real brief time span is incredibly limited. Even when many large participants would have interests in different of the settlement processes they’d more than likely have the same position and benefits from exactly the same side in the market manipulation. The VWAP have to have been calculated over many hours instead). Concluding is that we likely will discover a large amount of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.
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