Both if the CBOE future expired now, in the event the CME bitcoin future is on its way settlement, there was an amazing loss of the bitcoin price. Both futures has a significant low volume and i also would estimate that they are dominated by a unitary liquidity provider\/market maker. This market maker is usually short the future and perhaps long lots of. At expiry, they’ll profit when the price is low where you can border after settlement when the cost rebounds. Sadly both CME and CBOE has chosen a really bad settlement processes which can be all to easy to manipulate. For CBOE it does not take auction price for Gemini – a young which has a small volume most of the time.
CME’s model is better, however not very good, VWAP for the four major exchanges is a good idea, however, if that VWAP is calculated on just one single minute of trading it’s meaningless. With few large participants, the volume on this type of brief period is very limited. Regardless if many large participants might have interests in any of the settlement processes they’d most likely have the same position and advantages of exactly the same side of the market manipulation. The VWAP should have been calculated over a long time instead). In conclusion is that we likely will discover a lot of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.
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