CME explains 1 hour window for Bitcoin futures

posted 12 months ago
Bitcoin’s price reportedly fell by 10% at the end of both April and May, on the same day each month that CME Bitcoin futures expired, possibly due to a large market order sell-off. CME uses the one hour period, between 3PM to 4PM London time each day, to calculate the CME CF Bitcoin Reference Rate (BRR) which is what futures are based on. The allegation is that large amounts of BTC are bought or sold immediately before or after this hour, thus affecting the price.

“This window needed to be wide enough to allow for a sufficient number of trades to be included but narrow enough such that the calculated rate is still relevant and representative of the market,” CME says.
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