问题如下:
Based on Exhibit 2, the average effective spread of the three trades is closest to:
选项:
A. $0.0333.
B. $0.0367.
C. $0.0400.
解释:
C is correct. The effective bid–ask spread for buy orders is calculated as:
Effective bid–ask spread (buy order) = 2 × {Trade price – [(Ask price +Bid price) / 2)]} or
= 2 × (Trade price – Midpoint of the market at the time an order is entered).
So, the effective bid–ask spreads for the three buy trades are calculated as:
Effective spread of Trade 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300.
Effective spread of Trade 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300.
Effective spread of Trade 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600.
The resulting average effective spread is then calculated as:
Average effective spread = (Effective spread of Trade 1 + Effective spread of Trade 2 + Effective spread of Trade 3)/3.
Average effective spread = ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400.