Both when the CBOE future expired and from now on, when the CME bitcoin future is originating settlement, there was clearly a considerable decrease in the bitcoin price. Both futures has quite a low volume and i also would estimate that they’re dominated by one liquidity provider\/market maker. This market maker is probably short the future and perhaps long the location. At expiry, they’ll profit in the event the prices are low and have a border after settlement when the cost rebounds. Sadly both CME and CBOE has chosen a very bad settlement processes which might be easy to manipulate. For CBOE it’s the auction price for Gemini – a tender with a really small volume usually.
CME’s model is much better, but nevertheless lower, VWAP about the four major exchanges may be beneficial, however, if that VWAP is calculated on only one minute of trading it’s meaningless. With few large participants, the quantity on this type of brief span of time is quite limited. Even if many large participants could have interests in almost any of the settlement processes they’d almost certainly have the identical position and gains advantage from exactly the same side of the market manipulation. The VWAP will need 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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