You have started your first day at Goldman Sachs trading desk as an execution broker. Thirty minutes before open you get a call from a client to purchase 400,00 shares of Celgene over the course of the day at your discretion.  At the end of the day you submit the following blotter to the client on your executions:

 

Time               Bid               Ask             Execution                 Shares

9:30              55.35           57.02            56.71                        100,000

11:15               57.12            57.61             57.49                        75,000

13:25             52.17            54.32            53.55                       55,000

15:12              51.95           52.17              52.05                       70,000

15:59             57.05           57.95             57.45                       100,000



1) What is the average effective spread. Show all work.

 
2) Assuming that the above trades are the only ones executed in Celgene, what is the VWAP. Show all work.

Answer rating: 100% (QA)

1 Calculation of the average Effective Spread Effective Spread is the difference between the executi... View the full answer