Both when the CBOE future expired and from now on, if the CME bitcoin future is coming settlement, there is an important reduction in the bitcoin price. Both futures has a serious low volume i would guess that they’re covered with one single liquidity provider\/market maker. This market maker is probably short the longer term and possibly long lots of. At expiry, they’ll profit if your prices are low and also have a border after settlement in the event the cost rebounds. Sadly both CME and CBOE has chosen an incredibly bad settlement processes which can be all to easy to manipulate. For CBOE it’s the auction price for Gemini – a tender which has a really small volume generally.
CME’s model is much better, but nevertheless not as good, VWAP about the four major exchanges may be beneficial, in case that VWAP is calculated on only one minute of trading it’s meaningless. With few large participants, the quantity on this kind of brief period is incredibly limited. Even if many large participants might have interests in a of such settlement processes they’d more than likely have similar position and gains advantage from precisely the same side of the market manipulation. The VWAP will need to have been calculated over several hours instead). In conclusion is always that we likely will discover a large amount of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.
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