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Q2. Write your calculations please. (20 points) VXX is the 1x vix futures ETF. ETF UVXY manages leverage of +1.5x of vix futures ETF (a
Q2. Write your calculations please. (20 points)
VXX is the 1x vix futures ETF. ETF UVXY manages leverage of +1.5x of vix futures ETF (a leveraged fund, long 150% of AUM). You can view UVXY as holding 150% of its asset value in VXX.
c. What is the daily position in the un-levered ETF and cash post rebalancing? (4 points)
Day | 0 | 1 | 2 | 3 |
Position in unlevered ETF VXX | 150 |
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Position in cash
| -50 |
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d. What is the rebalancing trade in dollar terms? (4 points)
Day | 0 | 1 | 2 | 3 |
Rebal Trade in ETF VXX
| 150 |
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Change in Cash | -50 |
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