Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

answer following question, assuming the beta of a short one-month VIX futures position is 2.08 Monitor others vix VIX futuresv W CHANGE LAST 13.83 0.65

image text in transcribed

answer following question, assuming the beta of a short one-month VIX futures position is 2.08

Monitor others vix VIX futuresv W CHANGE LAST 13.83 0.65 15.10000.3500 15.7500 -0.2000 VD Dec21'16 @CFE 15.8000-0.2000 17.1000 -0.1500 VD Feb15'17 @CFE 17.7500-0.1500 18.2000 -0.1500 VIX Apr19'17 ecFE 18.75000.1500 19.3000 -0.1000 19.7000-0.1500 -4.49% 2.27% -1.2596 -1.25% -0.87% -0.84% -0.82% -0.79% -0.52% -0.75% VIX INDEX VD Nov23' 16 @CFE VD DecD7' 16 OCFE VD( Jan18' 17 OCFE VIX Mar22'17 CFE VIX Jun21'17 @cFE VIX Jul19'17 ecFE VXX 30.60 -0.69 -2.21% Suppose you sell the Dec. 21 futures. What is approximately the market beta of your short position? (assume that you can treat the December 21 maturity contract as having the beta of a one month (constant) maturity contract) Monitor others vix VIX futuresv W CHANGE LAST 13.83 0.65 15.10000.3500 15.7500 -0.2000 VD Dec21'16 @CFE 15.8000-0.2000 17.1000 -0.1500 VD Feb15'17 @CFE 17.7500-0.1500 18.2000 -0.1500 VIX Apr19'17 ecFE 18.75000.1500 19.3000 -0.1000 19.7000-0.1500 -4.49% 2.27% -1.2596 -1.25% -0.87% -0.84% -0.82% -0.79% -0.52% -0.75% VIX INDEX VD Nov23' 16 @CFE VD DecD7' 16 OCFE VD( Jan18' 17 OCFE VIX Mar22'17 CFE VIX Jun21'17 @cFE VIX Jul19'17 ecFE VXX 30.60 -0.69 -2.21% Suppose you sell the Dec. 21 futures. What is approximately the market beta of your short position? (assume that you can treat the December 21 maturity contract as having the beta of a one month (constant) maturity contract)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Health Care Finance Basic Tools For Nonfinancial Managers

Authors: Judith Baker

2nd Edition

0763726605, 9780763726607

More Books

Students also viewed these Finance questions

Question

What is the relationship between negative thinking and depression?

Answered: 1 week ago