Both once the CBOE future expired and today, if the CME bitcoin future is coming settlement, there was an amazing decline in the bitcoin price. Both futures has a significant low volume and I would estimate that these are dominated by a unitary liquidity provider\/market maker. Forex maker is most probably short the near future and perchance long lots of. At expiry, they’ll profit when the cost is low and also have a border after settlement when the cost rebounds. Sadly both CME and CBOE has chosen an incredibly bad settlement processes which are simple to manipulate. For CBOE it’s the auction price for Gemini – a young with a very small volume more often than not.
CME’s model is better, but nevertheless not as good, VWAP about the four major exchanges a very good idea, but if that VWAP is calculated on just one single minute of trading it’s meaningless. With few large participants, the volume on this kind of brief span of time is extremely limited. Even when many large participants may have interests in almost any of such settlement processes they’d almost certainly have similar position and advantages from the same side in the market manipulation. The VWAP must have been calculated over many hours instead). The final outcome is always 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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