Both in the event the CBOE future expired and today, when the CME bitcoin future is coming settlement, there were a considerable reduction in the bitcoin price. Both futures has a good low volume and that i would reckon that these are dominated by a single liquidity provider\/market maker. Forex trading maker is usually short the near future and perhaps long lots of. At expiry, they’ll profit if the cost is low where you can border after settlement if the cost rebounds. Sadly both CME and CBOE has chosen an extremely bad settlement processes which might be an easy task to manipulate. For CBOE it is the auction price for Gemini – a tender which has a small volume more often than not.
CME’s model is best, however not as good, VWAP around the four major exchanges may be beneficial, but when that VWAP is calculated on one minute of trading it’s meaningless. With few large participants, the degree on this kind of brief time period is very limited. Even though many large participants would have interests in different of such settlement processes they’d probably have the same position and gains advantage from the identical side with the market manipulation. The VWAP have to have been calculated over several hours instead). The conclusion is 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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