Both when the CBOE future expired now, when the CME bitcoin future is originating settlement, there were an important decline in the bitcoin price. Both futures has a significant low volume and i also would guess that they are covered with one single liquidity provider\/market maker. Forex maker is most likely short the 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 really bad settlement processes which might be all to easy to manipulate. For CBOE it’s the auction price for Gemini – a young with a small volume more often than not.
CME’s model is best, but nevertheless of low quality, VWAP for the four major exchanges may be beneficial, but when that VWAP is calculated on one minute of trading it’s meaningless. With few large participants, the volume on such a brief time span is extremely limited. Even if many large participants could have interests in almost any of these settlement processes they’d most likely have a similar position and gains advantage from precisely the same side from the market manipulation. The VWAP should have been calculated over a long time instead). Concluding is that we likely will see 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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