D Question 6 1 pts onitor others vix VIX futures vix w LAST CHANGE VIX Nov23\'16
ID: 2801943 • Letter: D
Question
D Question 6 1 pts onitor others vix VIX futures vix w LAST CHANGE VIX Nov23'16 GCFE WXDed716 ecFE VIX Jan1817 ecrr 13.83-0.65-4.49% -2.27% 15.7500 -0.2000 1.25%, 1.25% 15.1000-0.3500 VIK Dec21'16 CFE 1.8000 0.2000 17.1000-0.1500 VIX Feb15'17 OCFE17.7500-0.1500 18.2000-.1500 VIK Apri9 17 CFE 18.7500 0.1500 19.30000.1000 19.70000.1500 -0.84% -0.82% -0.79% VIK Jul1917 acrt -0.76% 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 (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.) Question 7 1 pts Suppose you implement the hedged position from the previous question 6. On the next day, the SPY goes down 2%. what is likely to be the P&L; on your trade?Explanation / Answer
6. The no. of shares that need to be bought for SPY = 11*15.8/217 = 0.8 ~= 1
7. The unrealised Profit on P&L statement: =
= 217*0.02 = 4.34
Related Questions
Navigate
Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.