SYSTEMATIC RISK ON CME GLOBEX BTC/USD FUTURE TRADING — Feb 26 Update

Since November 2020, Bitcoin Futures trading risk on CME Globex has 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 trading sessions end at 4:00 PM CT on Friday and Resumes at 5:00 PM CT on Sunday. Traditional capital markets (e.g. U.S. Equity Markets) 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 large price movements when CME starts a new session 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 2021–02–19, shows 2.65% price up in BTC/USD future market at Deribit; 3.17% price up in BTC/USD spot market at Coinbase; and 6.98% price up in BTC/USD perpetual swap market at Huobi.