Both once the CBOE future expired and after this, once the CME bitcoin future is arriving settlement, there was a considerable decline in the bitcoin price. Both futures has a significant low volume i would guess that these are dominated by a single liquidity provider\/market maker. Forex trading maker is probably short the future and possibly long the location. At expiry, they’ll profit if the cost is low and also have a border after settlement in the event the cost rebounds. Sadly both CME and CBOE has chosen a really bad settlement processes which can be all to easy to manipulate. For CBOE oahu is the auction price for Gemini – a young using a small volume generally.
CME’s model is better, but nevertheless lower, VWAP for the four major exchanges is a good idea, in case that VWAP is calculated on only one minute of trading it’s meaningless. With few large participants, the quantity on this kind of brief time span is very limited. Even when many large participants would have interests in almost any of such settlement processes they’d more than likely have the same position and gains advantage from exactly the same side of the market manipulation. The VWAP have to have been calculated over many hours instead). The conclusion is always that we likely will see a lots of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.
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