Both once the CBOE future expired now, in the event the CME bitcoin future is arriving settlement, there is an important decrease in the bitcoin price. Both futures has quite a low volume and I would estimate that they are dominated by a single liquidity provider\/market maker. This market maker is most likely short the long run and maybe long the location. At expiry, they’ll profit if your cost is low and have a border after settlement in the event the cost rebounds. Sadly both CME and CBOE has chosen an incredibly bad settlement processes that are easy to manipulate. For CBOE it’s the auction price for Gemini – a tender using a very small volume usually.
CME’s model is best, however not very good, VWAP for the four major exchanges is a great idea, however, if that VWAP is calculated on only one minute of trading it’s meaningless. With few large participants, the volume on this type of brief time period is quite limited. Even if many large participants would have interests in a of these settlement processes they’d more than likely have the same position and advantages of precisely the same side with the market manipulation. The VWAP should have been calculated over several hours instead). Concluding is that we likely will see 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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