In today’s briefing:
- How NXT (ATS) Affects Event Pricing from a Microstructure Perspective
How NXT (ATS) Affects Event Pricing from a Microstructure Perspective
- Next day’s base price uses the 3:30pm close—NXT’s after-hours moves don’t count. That small gap can impact rights offerings, as seen in Samsung SDI’s pricing delta on April 8.
- NXT after-hours volumes count toward VWAP. So in uptrends, they can impact pricing—possibly with Samsung SDI’s final reference price on May 16.
- No shorting allowed after 3:30pm on NXT, leading to inefficiencies—while not yet fit for latency arb, it’s ripe for tactical day–night spread plays and re-entry timing.
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