Question
It is July 16. A company has a portfolio of stocks worth $100 million. The beta of the portfolio is 1.2. The company would like
It is July 16. A company has a portfolio of stocks worth $100 million. The beta of the portfolio is 1.2. The company would like to use the CME December futures contract on the S&P 500 to change the beta of the portfolio to 0.5 during the period July 16 to November 16. The index is currently 1,000, and each contract is on $250 times the index.
- What position should the company take?
- Suppose that the company changes its mind and decides to increase the beta of the portfolio from 1.2 to 1.5. What position in futures contracts should it take?
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The Beginner S Guide To Day Trading How To Trade Penny Stocks
Authors: Benjamin Tyce
1st Edition
1681270528, 978-1681270524
