You're long 500 lots and news drops in five minutes
Asked at Flow Traders, DRW
You're market making a futures contract and, through the morning's flow, you've accumulated a long position of 500 lots. A major scheduled announcement (say, a central bank decision) hits in five minutes. Your desk's risk limit is 600 lots, so you're technically fine.
What do you do, and why? Be specific about the mechanics.
Show a hint
Ask yourself: would I choose to put on this position right now, at this price, into this event? If not, why am I holding it?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.