Question
You own a $20M equity portfolio with a beta 0.8. S&P 500 is expected to drop by 63 points. You short S&P 500 futures to
You own a $20M equity portfolio with a beta 0.8. S&P 500 is expected to drop by 63 points. You short S&P 500 futures to hedge. Futures contract multiplier 250. If S&P500 drops by 63 points, what is the dollar change in your futures position, per contract?
| 15,750 gain | ||
| 63,000 gain | ||
| 15,750 loss | ||
| 63,000 loss |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Case Studies In Finance
Authors: Robert F. Bruner
4th Edition
0072338628, 978-0072338621
