Did not expect: Bitcoin price is not tied to the date of expiration of the futures

Cindicator conducted a study that may dispel beliefs about the correlation of Bitcoin prices with expiration of futures contracts. It turned out that this theory has under itself soil. The company studied the response of prices BTC each approaching the expiration of futures. It turned out that the market is insufficient as a catalyst to forecast the spot price of Bitcoin.

The first wave of the expiry of futures

In December last year exchange CBOE and CME with a difference in a week introduced futures on bitcoins. The report Cindicator States that the behavior of the BTC price until the expiration of the first futures contract was similar on both exchanges. Price fell with each commit and started to grow thereafter, indicating speculation.

The January 2018 expiration of the contract F8: red marked period of seven days prior to the expiration of futures on the CBOE, and the blue period the week before options expiration CME.

“Probably because it was the first expiration, CBOE futures experienced a surge in hour intraday return volatility,” the report said, citing a Bitcoin pump between 16 and 17 January. However, the expiration of futures on the CME went pretty smoothly, not showing a similar reaction to pump between 21 and 29 January.

The expiration and subsequent decay of futures market

After the first wave of settlement of futures like the CME and CBOE, the correlation with the indicators of the spot market gradually began to decline, despite the increase in the share of futures. It seems that the players refused the futures market, his arbitrage opportunities and the potential dynamics of price movements. Thus, the price of Bitcoin usually falls to the expiration of the futures, but did not back up as expected because they were in a hurry to sell.

In Cindicator studied futures patterns, given the spot price of BTC until September and found that they were unlikely to be the cause of bearish sentiment after Jan. Each time the impact of fundamental factors exceeded the impact of futures trading on the price movement of the coin. For example, in may the price of bitcoin has decreased due to the strong bearish bias because the level of support fell below 10 000, and not because of the expiry of the futures.

However, despite the insignificant impact of the trend, it is important to note that volatility ahead of the expiry of futures still indicates active groping prices.

Information prepared in CCN. More danyh look at cryptodata.

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