Both in the event the CBOE future expired and after this, if the CME bitcoin future is originating settlement, there was clearly an important loss of the bitcoin price. Both futures has a significant low volume and I would guess that they are dominated by one single liquidity provider\/market maker. Forex trading maker is most probably short the near future and possibly long the area. At expiry, they’ll profit if your 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 are an easy task to manipulate. For CBOE it’s the auction price for Gemini – a tender with a tiny volume more often than not.
CME’s model is way better, but still lower, VWAP around the four major exchanges is a great idea, however, if that VWAP is calculated on just one minute of trading it’s meaningless. With few large participants, the quantity on such a brief time period is extremely limited. Even though many large participants might have interests in different of these settlement processes they’d most likely have the identical position and benefits from the same side in the market manipulation. The VWAP should have been calculated over several hours instead). The conclusion is 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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