Question
Suppose you hold 10,000 shares of XYZ stock. The stock is currently trading at $25.00 per share. You are interested in hedging against short-term movements
Suppose you hold 10,000 shares of XYZ stock. The stock is currently trading at $25.00 per share. You are interested in hedging against short-term movements in the market and decide to use e-Mini S&P 500 futures to hedge your exposure. The index is currently at 3,272.00. The contract size is $50 x the index value. The beta of XYZ is 1.31. Calculate how many e-Mini S&P 500 futures contracts are needed to hedge the portfolio against downside price risk.
- A.Short 2 contracts
- B.Long 2 contracts
- C.Short 20 contracts
- D.Long 20 contracts
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International Financial Reporting Standards An Introduction
Authors: Belverd E. Needles, Marian Powers
3rd Edition
1133187943, 978-1133187943
