Question
Suppose we have a well diversified $5M portfolio with a Beta of 1.75. We want to create a delta hedge using S&P500 index futures. The
Suppose we have a well diversified $5M portfolio with a Beta of 1.75. We want to create a delta hedge using S&P500 index futures.
The index is currently at 3,105.30 and Dec. index futures are currently trading at 3,108.6.
Suppose over the next few weeks the market drops 5%.
What is your total profit or loss when the market dropped 5%?
| A. | gained $1,446.25 | |
| B. | lost $1,446.25 | |
| C. | lost $436,053.75 | |
| D. | lost $437,500 |
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Startup CEO A Field Guide To Scaling Up Your Business
Authors: Matt Blumberg
2nd Edition
1119723663, 978-1119723660
