According to findings from Arcane Research reported by Norwegian crypto news outlet Kryptografen on Sept. 24, CME Group’s Bitcoin futures settlement dates, in particular, appear to negatively influence BTC markets.
New research this week has added to suspicions that futures settlement dates end up manipulating the Bitcoin (BTC) price.
Bitcoin drops 75% of the time before futures expire
Analyzing price behavior from January 2018 to August 2019, the company found that 75% of the times immediately before CME issued payouts, Bitcoin fell.
CME was one of the first operators to launch Bitcoin futures in December 2017. Since then, interest has peaked, with this year seeing frequent all-time highs for trading volumes.
Arcane published the numbers just hours before Bitcoin nosedived 15%, bottoming out at $8,000. That event happened to occur days before a major settlement date: on Friday, 50% of open interest in Bitcoin options is set to expire.
The week’s timing is also conspicuous following the launch of a new futures product from institutional trading platform Bakkt. Despite volumes being low, executives have already claimed the effectiveness of the product in helping markets with price discovery.
According to the company on social media, the unexpected drop in Bitcoin price was a sign of the market finding its true value.
Mulling “deliberate manipulation”
For Arcane, however, such price behavior is highly suspect.
“The figures thus support a hypothesis that the bitcoin price is manipulated in advance of CME settlement,” Kryptografen concluded. It added:
“However, the figures do not say anything about ‘deliberate manipulation’ or, for example, only a result of investors’ strategy of hedging.”
In August, Arcane hit the headlines again when separate findings suggested Bitcoin’s market dominance was in fact over 90%, rather than the roughly 70% reported by trackers.
Asset Manager Stone Ridge Files SEC Prospectus for Bitcoin Futures Fund
Another bitcoin futures product is booting up, according to a Stone Ridge Asset Management filing with the U.S. Securities and Exchange Commission.
The company filed a prospectus for a cash-settled bitcoin futures fund – dubbed the NYDIG Bitcoin Strategy Fund – with the regulator on Wednesday.
Based in New York City, Stone Ridge has some $15 billion in assets under management, serving clientele in both the United States and China. Founded in 2012, the firm offers portfolio management and advisory services.
One hundred thousand futures shares will be offered at $10 each, and have no minimum purchases. They will be limited to eligible investors as determined by Stone Ridge, the filing states.
The fund will not invest in bitcoin or other digital assets directly, but uses bitcoin as the underlying reference asset. To support the fund, Stone Ridge will purchase bitcoin futures to match the fund’s total value one-to-one along with large amounts of cash, government securities, and business securities to maintain liquidity, provide collateral as well as leverage.
The prospectus urges caution while calling bitcoin a speculative asset:
“Bitcoin was developed within the last decade and, as a result, there is little data on its long-term investment potential.”
As a prospectus, the details outlined by Stone Ridge are liable to change.
Bitcoin-based financial products continue to hit the market, with physically-settled bitcoin futures platform Bakkt launched last week. While settling just over $5 million in its first week, the launch signaled the end of a regulatory gauntlet spanning more than a year.
Stone Ridge did not return questions for comment by press time.