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by sklut 3080 days ago
On contango: I would not call what the futures market is experiencing "massive" contango. There is a very slight premium to further dated futures ($35/btc Feb over Jan, and $5 Mar over Feb contracts on CME), but this is very normal for a commodity and logically in place for exchange/spot holding risk. I would call the average settlements over the past month of futures being listed very normal contango. And I don't think the contango itself had anything to do with "reeling in" price. The futures finally being listed perhaps.

"The spot market is so thin" I also think is incorrect. GDAX is normally 0.01 USD wide (albeit for small amounts) and often-times under $1 wide for many BTC. I would call the spot market very thick, if anything. You can get off what appears to be very large amounts of BTC with minimal slippage most times of the day.

"didn't seem to take much open interest in the futs to whip the underlying" -- are you saying a futures move would lead the market? I respectfully disagree. All the entities I know price futs from spot and are generally putting on the arb in this order, not the other way around.
2 comments
runeks 3080 days ago
> You can get off what appears to be very large amounts of BTC with minimal slippage most times of the day.

I wrote a script[1] that pulls down the public order books for Bitstamp, GDAX and Bitfinex, because I was interested in seeing the depth of the BTCUSD market, and right now you can offload:

258, 301 and 325 BTC on GDAX, Bitfinex and Bitstamp, respectively (total: 884 BTC), at 1% slippage for 3,544,921, 4,152,783 and 4,452,134 USD, respectively (total: $12.1m).

[1] https://github.com/runeksvendsen/orderbook

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hendzen 3079 days ago
Those market depth numbers are probably thinner than they seem, there is no regulation of spoofing/layering and it would be instructive to look at the cancellation rate of passive orders originally placed deep in the book when market price subsequently approaches the resting limit price.

Of course if you want to move larger amounts there are specialized OTC markets that handle large block trades, e.g. Cumberland Mining. Of course the lit exchanges are important for price discovery.

It would be interesting to compare the BTC market depth as a percentage of market value to other exchange traded assets.

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gtcode 3080 days ago
No, just suggesting the arb opportunity existing at all helped reel in price. I believe this was the intention.

Sounds reasonable, thanks for clarifying and correcting.

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