Reference no: EM133068449

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	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