Should you widen your spread before earnings?
Asked at Optiver, IMC
You make markets in a stock that reports earnings after the close in a few minutes. Your normal spread is tight. A flurry of orders is starting to hit your quotes.
Should you keep quoting tight into the announcement? What is the risk, and what is the right adjustment?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.