Question 6 1 pts Monitor others vix VIX futuresvWato CHANGE LAST 13.83 VIX INDEx

Question

Question 6 1 pts Monitor others vix VIX futuresvWato CHANGE LAST 13.83 VIX INDEx VIK Nov23'16 QCFE -0.65 15.10000.3500 VIX Dec21'16 QCFE 15.80000.2000 17.1000 -0.1500 VIX Feb15, 17 OCE 17.7500-0.1500 18.2000-0.1500 VTX Apr1917 0CFE 18.7500-0.1500 19.3000 -0.1000 19.7000 0.1500 Dec07, 16 ecre VIX Jan1817 OCFE VIX Mar22'17 OCFE VIX Jun21'17 OcFE -4.49% 2.27% 15.7500-0.2000-1.25% 1.25% -0.87% -0.84% -0.82% -0.79% -0.52% -0.76% VIX Jul19'17 GCFE VDXX 30.60 -0.69 -2.21% On Nov 15th, the SPY was trading at 217.2. Suppose you sell eleven contracts with Dec. 21 maturity. How many shares of SPY do you buy to hedge your VIX futures position? Round off to the nearest integer. If your answer involve shorting say, 10 shares of SPY, then you buy -10 This question is graded with an error margin of 10 and builds on your answer to question 4.)

Explanation / Answer

Solution :-

Number of shares of SPY needed to buy for hedging VIX futures position = 217.20 / (15.8000 - 0.2000)

= 217.20 / 15.6000

= 13.9 (Rounded off to 14)

Conclusion :- Number of shares of SPY needed to buy for hedging the VIX futures position = 14 Shares.

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