Both in the event the CBOE future expired now, once the CME bitcoin future is on its way settlement, there were an important decline in the bitcoin price. Both futures has a good low volume i would guess that these are dominated by a single liquidity provider\/market maker. This market maker is most likely short the near future and possibly long the spot. At expiry, they’ll profit if the costs are low and also 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 all to easy to manipulate. For CBOE it does not take auction price for Gemini – a tender having a small volume more often than not.
CME’s model is way better, but nevertheless of low quality, VWAP for the four major exchanges may be beneficial, but if that VWAP is calculated on only one minute of trading it’s meaningless. With few large participants, the amount on a real brief period is extremely limited. Regardless if many large participants might have interests in almost any of the settlement processes they’d more than likely have a similar position and benefits from the identical side in the market manipulation. The VWAP will need to have been calculated over hrs instead). The final outcome is the fact 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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