Q2. Write your calculations please. (20 points) VXX is the 1x vix futures ETF. ETF...
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Q2. Write your calculations please. (20 points) VXX is the 1x vix futures ETF. ETF UVXY manages leverage of +1.5x of vix futures ETF (a leveraged fund, long 150% of AUM). You can view UVXY as holding 150% of its asset value in VXX.
a. Below is the price path for VXX, the 1x long etf. Fill in the blanks, including the calculation
b. what is the price path for SVXY?
c. What is the daily position in the un-levered ETF and cash post rebalancing?
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