New answers tagged arbitrage
7
The "price protection" refers to RegNMS in the US. A stock exchange that does not have the best price must route all order flow to the exchange that does. The SIP in the figure is a consolidated feed that lists the best price among all exchanges.
Consider this example: a broker sends a market order to buy JNJ to NYSE where the best offer is \$86.97. ...
1
You could compute index dividend yield from ATM options using linearized put-call parity (assuming index options are European.)
The present value of the dividend payment is:
$PV(div) = P - C + (S - K) + K(e^{rT} - 1)$
where $r$ is interest rate to the option expiration and $T$ is time to maturity in years. Then the implied dividend is:
$d = ...
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