You own 1,000 shares of Apple. Apple has a monthly beta of 1.28 to the S&P500 Index. The current 3-month e-mini S&P 500 Future is trading at 4,038.5; the contract unit is $50 * S&P 500 index value (so each contract is worth $50*4038.5). You have a negative view about the market and think Apple price would go down; you want to hedge that exposure. 1. How many e-mini S&P 500 Future do you need to hedge your Apple exposure? 2. Do you short/long these future contracts?
You own 1,000 shares of Apple. Apple has a monthly beta of 1.28 to the S&P500 Index. The current 3-month e-mini S&P 500 Future is trading at 4,038.5; the contract unit is $50 * S&P 500 index value (so each contract is worth $50*4038.5). You have a negative view about the market and think Apple price would go down; you want to hedge that exposure. 1. How many e-mini S&P 500 Future do you need to hedge your Apple exposure? 2. Do you short/long these future contracts?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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You own 1,000 shares of Apple. Apple has a monthly beta of 1.28 to the S&P500 Index. The current 3-month e-mini S&P 500 Future is trading at 4,038.5; the contract unit is $50 * S&P 500 index value (so each contract is worth $50*4038.5). You have a negative view about the market and think Apple price would go down; you want to hedge that exposure.
1. How many e-mini S&P 500 Future do you need to hedge your Apple exposure?
2. Do you short/long these future contracts?
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