What is the daily position in the un-levered etf

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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 (3 points)

Day

0

1

2

3

Price for unlevered VXX

100

150

75

100

Daily Return 

NA

 

 

 

b. What is the price path for SVXY? 

Day

0

1

2

3

Price

100

 

 

 

c. What is the daily position in the un-levered ETF and cash post rebalancing?

Day

0

1

2

3

Position in unlevered ETF VXX

150

 

 

 

Position in cash 

-50

 

 

 

d. What is the rebalancing trade in dollar terms?

Day

0

1

2

3

Rebal Trade in ETF VXX

150

 

 

 

Change in Cash

-50

 

 

 

Reference no: EM133068458

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