Both in the event the CBOE future expired and after this, once the CME bitcoin future is on its way settlement, there is an amazing reduction in the bitcoin price. Both futures has a good low volume and I would estimate that these are covered with a single liquidity provider\/market maker. Forex maker is usually short the near future and perhaps long the area. At expiry, they’ll profit if the price is low this will let you border after settlement if the cost rebounds. Sadly both CME and CBOE has chosen a very bad settlement processes which might be easy to manipulate. For CBOE it 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 still not very good, VWAP on the four major exchanges a very good idea, in case that VWAP is calculated on just one minute of trading it’s meaningless. With few large participants, the quantity on this kind of brief span of time is very limited. Regardless if many large participants might have interests in different of the settlement processes they’d more than likely have a similar position and gains advantage from exactly the same side in the market manipulation. The VWAP will need to have been calculated over hrs instead). The conclusion is always that we likely will discover a lot of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.
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