Collapsing Liquidity During End-Of-Day Rebalancing Has Led In An Unprecedented Mispricing Of Options
Apr 7th 2020 8:20pm EDT
Collapsing Liquidity During End-Of-Day Rebalancing Has Led In An Unprecedented Mispricing Of Options For the second time in two weeks, today’s Market on Close rebalance announcement at 350pm ET wreaked havoc on stocks. As we showed earlier, the publication of a notice that there were over $2BN in stocks for sale sending the S&P lower […]
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