Q2. Write your calculations please. (15 points)

VXX is the 1x vix futures ETF. ETF SVXY manages leverage of -0.5x of vix futures ETF (a short fund, shorting 50% of AUM).

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	100	250	500	450
Daily Return	NA

b. what is the price path for SVXY? (4 points)

Day	0	1	2	3
Price	100

c. What is the daily position in the un-levered ETF and cash post rebalancing? (4 points)

Day	0	1	2	3
Position in unlevered ETF VXX	-50
Position in cash	150

c. What is the rebalancing trade in dollar terms? (4 points)

Day	0	1	2	3
Rebal Trade in ETF VXX	-50
Change in Cash	150