Both if the CBOE future expired and after this, when the CME bitcoin future is originating settlement, there was clearly a considerable decrease in the bitcoin price. Both futures has a significant low volume and that i would guess that they are covered with a unitary liquidity provider\/market maker. This market maker is probably short the long run and perchance long lots of. At expiry, they’ll profit in the event the price is low this will let you border after settlement once the cost rebounds. Sadly both CME and CBOE has chosen a very bad settlement processes which can be an easy task to manipulate. For CBOE it’s the auction price for Gemini – a young with a really small volume more often than not.
CME’s model is better, but still not very good, VWAP for the four major exchanges a very good idea, however, if that VWAP is calculated on one minute of trading it’s meaningless. With few large participants, the degree on this kind of brief time span is extremely limited. Even though many large participants might have interests in almost any of such settlement processes they’d most likely have the same position and benefits from precisely the same side of the market manipulation. The VWAP have to have been calculated over a long time instead). The conclusion is always that 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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