medium · Market Microstructure mmf-core
The S&P 500 index is at 5,000. A 30-day futures contract has a theoretical fair value of 5,020.
If an arbitrageur observes the futures trading at 5,025 and executes an index arbitrage trade, what is their expected gross profit per contract (multiplier: 250) if their round-trip transaction costs (basket execution + commissions) total 2.0 index points?
- $750
- $1,250
- $500
- $1,750
Sign up free to see the explanation and track your rank →
More Market Microstructure mmf-core practice
- A stock is trading at $100.00. The Level 1 S&P 500 Market-Wi… — What is the status of trad
- If the stock gaps down and opens at $69.50 on Tuesday morning, at what price will the trad
- Using the Lee-Ready algorithm, how should a trade occurring at $50.10 following a $50.00 t
- During the pre-open period of an opening auction, the exchan… — What is the primary purpos
- If a stock enters a 'limit state' and does not recover within 15 seconds, what is the regu
- A retail trader hears a stock tip on a popular social media… — How is this trader classifi
- A corn farmer is worried that prices will drop before the harvest in three months. The far
- What is the clearing price that maximizes volume?