Q2. Write your calculations please. (20 points)

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.

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	150
Position in cash	-50

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

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