So Say a large cap goes into a trading halt For some announcement / corporate action And various index futures, and ETFs it's included in are still trading ... Any one who knows what I mean - feel free to share war stories. Fortunes made & lost etc
Uh I've seen / been involved in situations where we/they would still make block prices and lay it off with futures temporarily, taking on the synthetic delta of the halted leg. Im looking for recent stories / disasters.
I see it a lot in biotechs. Stock halted for drug announcement and etfs are stil trading in after hours and regular session "implying" a price for the halted stock
Yep. Get close prices. Back out those legs. Get an implied for the halted. I reckon there's got to be a reasonable trade there from time to time. Trade the halted stock via the etf, minus other legs.
there's a component "cash in lieu" of delivering shares. also, your broker most likely will give a large haircut if you 95% balanced
But they're not going to allow "cash in lieu" for a component that isn't trading at the time, since there isn't a way for them to determine what the amount should be.