Both once the CBOE future expired now, once the CME bitcoin future is coming settlement, there is an amazing decline in the bitcoin price. Both futures has quite a low volume i would reckon that these are covered with one liquidity provider\/market maker. This market maker is usually short the longer term and perhaps long the area. At expiry, they’ll profit if your price is low and also have a border after settlement when the cost rebounds. Sadly both CME and CBOE has chosen a very bad settlement processes which might be easy to manipulate. For CBOE it does not take auction price for Gemini – a young which has a very small volume more often than not.
CME’s model is better, but nevertheless lower, VWAP on the four major exchanges a very good idea, but when that VWAP is calculated on one minute of trading it’s meaningless. With few large participants, the amount on a real brief period is very limited. Even if many large participants might have interests in almost any of the settlement processes they’d most likely have similar position and advantages from the identical side from the market manipulation. The VWAP should have been calculated over many hours instead). The conclusion is we likely will see a lot of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.
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