easy · Market Microstructure hft
An authorized participant (AP) sees an ETF trading at 100.20 while the underlying basket of stocks has a NAV of 100.00.
To profit from this discrepancy, the AP should:
- Buy the ETF and sell the futures
- Short the ETF and wait for the NAV to rise
- Sell the basket and redeem ETF shares
- Buy the basket and create ETF shares
Sign up free to see the explanation and track your rank →
More Market Microstructure hft practice
- A trader places a large sell order for 50,000 shares at $50.01 only to cancel it immediate
- A high-frequency trading firm detects a price change on the NYSE and executes a trade on B
- An HFT firm's co-located server receives a direct data feed… — What is the primary risk th
- A high-frequency trader places a buy order for 10,000 shares… — Which prohibited practice
- A high-frequency trader (HFT) notices that the price of a stock has just risen on the New
- How does the algorithm's reaction contribute to a potential flash crash?
- A trader wanting to buy 10,000 shares cheaply places a 50,000-share sell order at $50.01
- As the price of the underlying stock begins to fall rapidly, what is the delta-hedging res