Three sell orders are placed for a stock today. Listed below are the bid and ask quotes
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Question:
Three sell orders are placed for a stock today. Listed below are the bid and ask quotes at various times:
Time | Bid Price | Bid Size | Ask Price | Ask Size |
10:00 AM | $12.10 | 300 | $12.16 | 400 |
1:00 PM | $12.00 | 300 | $12.07 | 400 |
2:00 PM | $11.80 | 300 | $11.88 | 400 |
The following trades take place:
a. At 10:00 AM, the trader placed an order to sell 100 shares. The execution price was $12.11.
b. At 1:00 PM, the trader placed an order to sell 300 shares. The execution price was $12.00.
c. At 2:00 PM, the trader placed an order to sell 600 shares. The average execution price was $11.75.
Calculate the quoted and effective spreads for each of these orders.
Calculate the average quoted and average effective spread.
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