Both when the CBOE future expired and after this, if the CME bitcoin future is originating settlement, there was an amazing loss of the bitcoin price. Both futures has a significant low volume and I would reckon that these are covered with a single liquidity provider\/market maker. Forex trading maker is usually short the future and perhaps long lots of. 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 a very bad settlement processes which can be simple to manipulate. For CBOE it does not take auction price for Gemini – a young using a very small volume more often than not.
CME’s model is best, but nevertheless not as good, VWAP on the four major exchanges is a good idea, but when that VWAP is calculated on one minute of trading it’s meaningless. With few large participants, the volume on this type of brief span of time is very limited. Regardless if many large participants might have interests in different of the settlement processes they’d almost certainly have similar position and benefits from the identical side of the market manipulation. The VWAP have to have been calculated over many hours instead). The conclusion is 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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