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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
Day
0
1
2
3
Price for unlevered VXX
100
150
75
Daily Return
NA
b. What is the price path for SVXY?
Price
c. What is the daily position in the un-levered ETF and cash post rebalancing?
Position in unlevered ETF VXX
Position in cash
-50
d. What is the rebalancing trade in dollar terms?
Rebal Trade in ETF VXX
Change in Cash
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