Both in the event the CBOE future expired and after this, when the CME bitcoin future is arriving settlement, there is an amazing loss of the bitcoin price. Both futures has a good low volume and that i would reckon that they are dominated by one liquidity provider\/market maker. Forex trading maker is usually short the future and perhaps long lots of. At expiry, they’ll profit in the event the costs are low and have a border after settlement when the cost rebounds. Sadly both CME and CBOE has chosen a really bad settlement processes which are all to easy to manipulate. For CBOE oahu is the auction price for Gemini – a tender having a very small volume generally.

CME’s model is way better, however not as good, VWAP around 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 quantity on a real brief span of time is very limited. Even when many large participants may have interests in different of the settlement processes they’d more than likely have similar position and gains advantage from precisely the same side of the market manipulation. The VWAP should have been calculated over hrs instead). The final outcome is 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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