Both if the CBOE future expired and from now on, if the CME bitcoin future is on its way settlement, there was clearly a substantial decrease in the bitcoin price. Both futures has quite a low volume and that i would guess that these are dominated by a unitary liquidity provider\/market maker. The forex market maker is usually short the longer term and maybe long the area. At expiry, they’ll profit if your price is low this will let you border after settlement once the cost rebounds. Sadly both CME and CBOE has chosen a very bad settlement processes that are all to easy to manipulate. For CBOE it does not take auction price for Gemini – a young with a really small volume usually.

CME’s model is best, but nonetheless lower, VWAP around the four major exchanges a very good idea, in case 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 quite limited. Even when many large participants might have interests in different of such settlement processes they’d most likely have the same position and gains advantage from precisely the same side from the market manipulation. The VWAP will need to have been calculated over hrs instead). The conclusion is that we likely will discover a lots of strange market activity around each future expiration and expect a rebound after 3 pm Central time today!.

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