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What is the rebalancing trade in dollar terms

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Reference no: EM133072466

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.

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

 

 

 

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: EM133072466

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