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What is the effective spread, realized spread, price improvement, and price impact for the following trades? a.An order arriving at 11.02:44, buy 100 shares limit
What is the effective spread, realized spread, price improvement, and price impact for the following trades?
a.An order arriving at 11.02:44, buy 100 shares limit 35.00, was excited at 34.98.
b.An order arriving at 11.07:02, sell 100 shares limit 34.70, was executed at 34.73.
Note:The benchmark price to evaluate these costs is captured 5 mins after the trade/
ABC trades on the New York Stock Exchange (NYSE). The National Best Bid / Offer (NBBO) and the bid-ask midpoint record for ABC are as follows: Time National Best Bid (NBB) National Best Offer (NBO) Bid-ask spread Bid-ask midpoint (BAM) 35.075 11:01:00 35.05 35.10 0.05 11:02:00 34.94 34.99 34.965 0.05 11:03:00 34.83 34.86 34.845 0.03 11:04:00 34.77 34.790 0.04 34.81 34.85 34.77 0.08 11:05:00 11:06:00 34.810 34.760 34.74 34.78 0.04 11:07:00 34.75 34.78 34.765 0.03 11:08:00 34.80 34.86 34.830 0.06 11:09:00 34.72 34.75 34.735 0.03 11:10:00 34.75 34.83 34.790 0.08 11:11:00 34.66 34.69 34.675 0.03 11:12:00 34.74 34.78 34.760 0.04 11:13:00 34.82 34.88 34.850 0.06 ABC trades on the New York Stock Exchange (NYSE). The National Best Bid / Offer (NBBO) and the bid-ask midpoint record for ABC are as follows: Time National Best Bid (NBB) National Best Offer (NBO) Bid-ask spread Bid-ask midpoint (BAM) 35.075 11:01:00 35.05 35.10 0.05 11:02:00 34.94 34.99 34.965 0.05 11:03:00 34.83 34.86 34.845 0.03 11:04:00 34.77 34.790 0.04 34.81 34.85 34.77 0.08 11:05:00 11:06:00 34.810 34.760 34.74 34.78 0.04 11:07:00 34.75 34.78 34.765 0.03 11:08:00 34.80 34.86 34.830 0.06 11:09:00 34.72 34.75 34.735 0.03 11:10:00 34.75 34.83 34.790 0.08 11:11:00 34.66 34.69 34.675 0.03 11:12:00 34.74 34.78 34.760 0.04 11:13:00 34.82 34.88 34.850 0.06Step by Step Solution
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