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Quantitative Finance · Glosarium

Apa itu Implied-in and implied-out?

Dikenal juga sebagai: implied-in · implied-out

Definition 19.7 Markets I: The Ecosystem and Exchange-Traded Markets · Bab 19 — Matching Algorithms and Implied Spreads

An implied-in order is a spread order which the matching engine derives from orders resting in the outright books: a bid in the front month and an offer in the back month imply a bid in the spread at the difference of their prices, for the smaller of their sizes. An implied-out order is an outright order derived from a spread order and an outright order in the other leg. Implied orders are real: they can be hit, and the engine then executes all the legs at once. Implied orders do not trade against implied orders.

Implied-in orders. The spread’s implied bid is the front bid minus the back ask, 10\,050 - 10\,023 = 27, for (30, 10) = 10 lots; its implied ask is 10\,052 - 10\,020 = 32 for 25. The book a trader sees is the better of direct and implied on each side, sizes adding at equal prices.
Figure 19.4. Implied-in orders. The spread’s implied bid is the front bid minus the back ask, 10 050−10 023=2710\,050 - 10\,023 = 27, for min⁡(30,10)=10\min(30, 10) = 10 lots; its implied ask is 10 052−10 020=3210\,052 - 10\,020 = 32 for 25. The book a trader sees is the better of direct and implied on each side, sizes adding at equal prices.
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