Both once the CBOE future expired and today, when the CME bitcoin future is originating settlement, there were a substantial decrease in the bitcoin price. Both futures has a significant low volume i would reckon that these are dominated by a single liquidity provider\/market maker. Forex trading maker is probably short the longer term and possibly long the location. At expiry, they’ll profit in the event the costs are low this will let you border after settlement when the cost rebounds. Sadly both CME and CBOE has chosen a very bad settlement processes that are easy to manipulate. For CBOE oahu is the auction price for Gemini – a tender which has a really small volume most of the time.
CME’s model is much better, but nonetheless not as good, VWAP for the four major exchanges is a great idea, however, if that VWAP is calculated on just one single minute of trading it’s meaningless. With few large participants, the amount on this kind of brief time span is very limited. Regardless if many large participants might have interests in a of the settlement processes they’d more than likely have similar position and advantages from exactly the same side in the market manipulation. The VWAP must have been calculated over hrs instead). In conclusion is the fact that we likely will discover 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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