Question1 The market opens at 9:30 AM, at which point 15,000 shares of ABC stock trade at
Question:
Question1
The market opens at 9:30 AM, at which point 15,000 shares of ABC stock trade at $35.66 a share.
You decide to trade to buy 1,800 shares of ABC at 10:50 AM. The best bid and ask prices at this time are $36.05 and $36.08, respectively.
Another trader's order executes at 11:25 AM at a price of $36.20 for 850 shares. The best bid and ask prices at this time are $36.20 and $36.22, respectively.
At 11:59 AM, 690 shares of your order gets executed at a price of $36.05. The best bid and ask prices at this time are $36.20 and $36.05, respectively.
Another trader's order for 3,000 shares is executed at 2:16 PM at a price of $36.15.
At 3:50 PM, another 795 shares of yours are executed at $36.03. The best bid and ask prices at this time are $35.99 and $36.03, respectively.
Finally the market closes at 4 PM, when the best bid and ask prices are $35.91 and $35.94, respectively.
Assume that there are no other transactions in ABC stock during the day.
Calculate the TWAP benchmark?
1 point
Options-
A 36.018
B 32.324
C 30.028
D 39.895
Question2
The market opens at 9:30 AM, at which point 15,000 shares of ABC stock trade at $35.66 a share.
You decide to trade to buy 1,800 shares of ABC at 10:50 AM. The best bid and ask prices at this time are $36.05 and $36.08, respectively.
Another trader's order executes at 11:25 AM at a price of $36.20 for 850 shares. The best bid and ask prices at this time are $36.20 and $36.22, respectively.
At 11:59 AM, 690 shares of your order gets executed at a price of $36.05. The best bid and ask prices at this time are $36.20 and $36.05, respectively.
Another trader's order for 3,000 shares is executed at 2:16 PM at a price of $36.15.
At 3:50 PM, another 795 shares of yours are executed at $36.03. The best bid and ask prices at this time are $35.99 and $36.03, respectively.
Finally the market closes at 4 PM, when the best bid and ask prices are $35.91 and $35.94, respectively.
Assume that there are no other transactions in ABC stock during the day.
What is the transaction cost according to the TWAP benchmark?
1 point
Options-
A 21.62
B 51.62
C 41.62
D 31.62
Question3
The market opens at 9:30 AM, at which point 15,000 shares of ABC stock trade at $35.66 a share.
You decide to trade to buy 1,800 shares of ABC at 10:50 AM. The best bid and ask prices at this time are $36.05 and $36.08, respectively.
Another trader's order executes at 11:25 AM at a price of $36.20 for 850 shares. The best bid and ask prices at this time are $36.20 and $36.22, respectively.
At 11:59 AM, 690 shares of your order gets executed at a price of $36.05. The best bid and ask prices at this time are $36.20 and $36.05, respectively.
Another trader's order for 3,000 shares is executed at 2:16 PM at a price of $36.15.
At 3:50 PM, another 795 shares of yours are executed at $36.03. The best bid and ask prices at this time are $35.99 and $36.03, respectively.
Finally the market closes at 4 PM, when the best bid and ask prices are $35.91 and $35.94, respectively.
Assume that there are no other transactions in ABC stock during the day.
Calculate the VWAP benchmark?
1 point
Options-
A 35.782
B 25.782
C 45.782
D 55.782
Question4
The market opens at 9:30 AM, at which point 15,000 shares of ABC stock trade at $35.66 a share.
You decide to trade to buy 1,800 shares of ABC at 10:50 AM. The best bid and ask prices at this time are $36.05 and $36.08, respectively.
Another trader's order executes at 11:25 AM at a price of $36.20 for 850 shares. The best bid and ask prices at this time are $36.20 and $36.22, respectively.
At 11:59 AM, 690 shares of your order gets executed at a price of $36.05. The best bid and ask prices at this time are $36.20 and $36.05, respectively.
Another trader's order for 3,000 shares is executed at 2:16 PM at a price of $36.15.
At 3:50 PM, another 795 shares of yours are executed at $36.03. The best bid and ask prices at this time are $35.99 and $36.03, respectively.
Finally the market closes at 4 PM, when the best bid and ask prices are $35.91 and $35.94, respectively.
Assume that there are no other transactions in ABC stock during the day.
What is the transaction cost according to the VWAP benchmark?
1 point
Options-
A 401.25
B 381.25
C 391.25
D 411.25
Question5
The market opens at 9:30 AM, at which point 15,000 shares of ABC stock trade at $35.66 a share.
You decide to trade to buy 1,800 shares of ABC at 10:50 AM. The best bid and ask prices at this time are $36.05 and $36.08, respectively.
Another trader's order executes at 11:25 AM at a price of $36.20 for 850 shares. The best bid and ask prices at this time are $36.20 and $36.22, respectively.
At 11:59 AM, 690 shares of your order gets executed at a price of $36.05. The best bid and ask prices at this time are $36.20 and $36.05, respectively.
Another trader's order for 3,000 shares is executed at 2:16 PM at a price of $36.15.
At 3:50 PM, another 795 shares of yours are executed at $36.03. The best bid and ask prices at this time are $35.99 and $36.03, respectively.
Finally the market closes at 4 PM, when the best bid and ask prices are $35.91 and $35.94, respectively.
Assume that there are no other transactions in ABC stock during the day.
Calculate the 'decision time bid ask mid-point' benchmark?
1 point
Options-
A 36.065
B 35.165
C 36.165
D 35.035
Question6
The market opens at 9:30 AM, at which point 15,000 shares of ABC stock trade at $35.66 a share.
You decide to trade to buy 1,800 shares of ABC at 10:50 AM. The best bid and ask prices at this time are $36.05 and $36.08, respectively.
Another trader's order executes at 11:25 AM at a price of $36.20 for 850 shares. The best bid and ask prices at this time are $36.20 and $36.22, respectively.
At 11:59 AM, 690 shares of your order gets executed at a price of $36.05. The best bid and ask prices at this time are $36.20 and $36.05, respectively.
Another trader's order for 3,000 shares is executed at 2:16 PM at a price of $36.15.
At 3:50 PM, another 795 shares of yours are executed at $36.03. The best bid and ask prices at this time are $35.99 and $36.03, respectively.
Finally the market closes at 4 PM, when the best bid and ask prices are $35.91 and $35.94, respectively.
Assume that there are no other transactions in ABC stock during the day.
What is the transaction cost as per the implementation shortfall method?
1 point
Options-
A -49.20
B -39.20
C 39.20
D 49.20