Calculate the number of e-mini s and p futures contracts

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Reference no: EM132001805

Suppose you have 10,000 shares of the SPY. It is early October and the prices of the SPY and the December e-mini S&P500 futures contract are shown below. Based on the spot-future b estimate (shown below), calculate the number of e-mini S&P 500 futures contracts you need to hedge your portfolio.

(SPY = 111.85 and /ESZ9 = 1122 bs,FC = 0.98, Z = 20)

Reference no: EM132001805

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