SYSTEMATIC RISK ON CME GLOBEX BTC/USD FUTURE TRADING

Since November, 2020, Bitcoin future trading risk on CME Globex has been significantly increased due to non-responsiveness to price movement and volatility at other trading venues during CME Globex non-trading hours. Particularly, non-high-frequency traders holding positions over the time period were exposed to such risk. A CME weekly trading session ends at 4:00 p.m CT on Friday and resumes at 5:00 p.m. CT on Sunday. Traditional capital markets (e.g., U.S. Equity market) are also closed during the period. However, most cryptocurrency markets are open 24/7. This introduces systematic risk to CME Bitcoin traders. CME traders are vulnerable to big price movement when CME starts a new session on Sunday.

The following figure shows price movements in percentages between when the CME Globex ends and it resumes over last 6 months. Each date at the X-axis represents Friday when CME Globex ends. On the last session, which ended at 2021–01–01, shows 15.10% price up in BTC/USD future market at Deribit; 13.41% price up in BTC/USD spot market at Coinbase; and 14.47% price up in BTC/USD perpetual swap market at Huobi.