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The following table gives the daily volume profile for XYZ. A fund manager wants to sell 20,000 shares between 9:30 and noon, and seeks to
The following table gives the daily volume profile for XYZ. A fund manager wants to sell 20,000 shares between 9:30 and noon, and seeks to sell at VWAP over that period. How many shares should she aim to sell in each of the five 30-minute intervals that span 9:30 to 12:00?
Interval | Avg. Volume |
|
9:30 | 26,000 | 13% |
10:00 | 20,000 | 10% |
10:30 | 18,000 | 9% |
11:00 | 12,000 | 6% |
11:30 | 12,000 | 6% |
12:00 | 12,000 | 6% |
12:30 | 12,000 | 6% |
13:00 | 12,000 | 6% |
13:30 | 12,000 | 6% |
14:00 | 12,000 | 6% |
14:30 | 12,000 | 6% |
15:00 | 16,000 | 8% |
15:30 | 24,000 | 12% |
200,000 100%
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