If I have a large order to fill, shouldn't I always buy a derivative in the same direction to profit from the market impact?
E.g. I sell 1 million shares and so I buy a put, which will hence almost surely increase in value (due to large market impact).
I understand that I lose value from selling shares as the price goes down, but my point is more about always adding the put (assuming I want to sell the shares anyways)? It would be a kind of self-frontrunning strategy.