Both in the event the CBOE future expired and after this, once the CME bitcoin future is arriving settlement, there was clearly an amazing decrease in the bitcoin price. Both futures has quite a low volume and I would guess that they are dominated by one single liquidity provider\/market maker. This market maker is usually short the longer term and possibly long the location. At expiry, they’ll profit if the prices are low where you can border after settlement when the cost rebounds. Sadly both CME and CBOE has chosen an extremely bad settlement processes which might be easy to manipulate. For CBOE it is the auction price for Gemini – a young with a tiny volume most of the time.
CME’s model is best, but nevertheless of low quality, VWAP about the four major exchanges a very good idea, but when that VWAP is calculated on just one minute of trading it’s meaningless. With few large participants, the quantity on such a brief period is very limited. Even if many large participants would have interests in almost any of these settlement processes they’d more than likely have a similar position and advantages from exactly the same side of the market manipulation. The VWAP should have been calculated over a long time 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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