Both when the CBOE future expired and from now on, if the CME bitcoin future is originating settlement, there were an amazing decrease in the bitcoin price. Both futures has quite a low volume and i also would estimate that these are dominated by a unitary liquidity provider\/market maker. The forex market maker is usually short the near future and perchance long lots of. At expiry, they’ll profit if the prices are low and also have a border after settlement once the cost rebounds. Sadly both CME and CBOE has chosen an extremely bad settlement processes that are simple to manipulate. For CBOE it is the auction price for Gemini – a tender with a tiny volume usually.
CME’s model is much better, but nonetheless not as good, VWAP for the four major exchanges may be beneficial, but when that VWAP is calculated on just one single minute of trading it’s meaningless. With few large participants, the degree on this type of brief period is quite limited. Even when many large participants may have interests in different of those settlement processes they’d almost certainly have the same position and benefits from precisely the same side from the market manipulation. The VWAP should have been calculated over many hours instead). The conclusion is always that we likely will discover a great deal of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.
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