medium · Market Microstructure
A large 'Market-on-Close' (MOC) buy order is submitted to a closing auction. The indicative clearing price is $100.50 vs. a last-trade price of $100.00.
If the auction clears at 100.50 and the next day's open is $100.20, what was the permanent impact per share of that MOC order?
- $0.20
- $0.25
- $0.30
- $0.50
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