medium · Market Microstructure hft

An authorized participant (AP) observes an ETF trading at 100.20 while the Net Asset Value (NAV) of the underlying basket is100.00.

If the AP creates 50,000 shares and transaction costs are 0.05 per share, what is the arbitrage profit?

  1. $5,000
  2. $10,000
  3. $7,500
  4. $2,500

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