Both once the CBOE future expired and after this, in the event the CME bitcoin future is coming settlement, there was clearly an important reduction in the bitcoin price. Both futures has quite a low volume and i also would guess that they’re dominated by one liquidity provider\/market maker. This market maker is probably short the long run and perchance long the spot. At expiry, they’ll profit in the event the prices are low and have a border after settlement if 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’s the auction price for Gemini – a tender with a small volume more often than not.

CME’s model is better, but nonetheless not very good, VWAP for the four major exchanges a very good idea, but if that VWAP is calculated on just one minute of trading it’s meaningless. With few large participants, the amount on this type of brief time span is extremely limited. Regardless if many large participants could have interests in almost any of such settlement processes they’d probably have similar position and gains advantage from exactly the same side in the market manipulation. The VWAP must have been calculated over many hours instead). Concluding is always that we likely will see a lots of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.

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