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Usually there isn't any risk in this scenario but thanks to cboe rules that cap volatility at 20%, there is quite a bit of risk hidden here. Say, you buy btc and short the future. If btc drops by 30% in a day, future trading will be halted at 20% which means that you can lose money if it is an expiry day. Also, CBOE and your btc exchange aren't linked. So you will have to put up additional margin when btc goes up and your future is losing money.

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Expiry day is going to be very interesting then. I had no idea their volatility rules would apply to expiring contracts too, that's insane. Why would anyone want to trade that instrument?

I wish I know :). Its not really a derivative if volatility is capped while the underlying is free to move around.

Just some kind of capped option.

This is how all future contracts work. There are daily limits that lock the contracts from trading. Interestingly enough these contracts seem to have very high margin requirements and lock limits. I also find the discussion about "shorting" to be interesting. All futures contracts have 2 position - a long and a short. The number of "shorts" is identical to the number of longs, unless I am misinterpreting the was these contracts are set up.

trading is halted for _minutes_ 2min then 5min... hardly an earth shattering pause.

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