Index event - same general principles as a regular event strategy but applying it to index rebalancing, additions, etc. For example, if you knew x security might be added to an index, you might try and act as a liquidity provider and take advantage of the upward drift in price. Have also seen some strategies that use pretty advanced signaling/network engineering off of option trades.
Some of the shops with crazy quant firepower will try and predict what the specific rebalances/additions will be ahead of the news, especially since each index has a defined "rulebook" regarding their rebalancing methodologies. For example, I would not be surprised at all if some strategies longed GameStop in anticipation of the retail frenzy pushing it up into a midcap index (which eventually happened).
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Index event - same general principles as a regular event strategy but applying it to index rebalancing, additions, etc. For example, if you knew x security might be added to an index, you might try and act as a liquidity provider and take advantage of the upward drift in price. Have also seen some strategies that use pretty advanced signaling/network engineering off of option trades.
Isn’t index rebalancing public knowledge? What’s the edge here? Sounds interesting.
Some of the shops with crazy quant firepower will try and predict what the specific rebalances/additions will be ahead of the news, especially since each index has a defined "rulebook" regarding their rebalancing methodologies. For example, I would not be surprised at all if some strategies longed GameStop in anticipation of the retail frenzy pushing it up into a midcap index (which eventually happened).
Odio aspernatur harum voluptas facilis accusantium voluptas commodi quia. Corrupti sapiente occaecati aspernatur cupiditate accusamus nulla. Et commodi aut sit hic libero. Natus maiores est et esse.
Nemo quasi sed fuga aut incidunt. Sunt ducimus qui necessitatibus qui dolorem ullam praesentium. Et sunt cum non quo eos. Dolorum cupiditate dolores consequatur eos temporibus officia sapiente.
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