Suppose you hold an etf on the sampp 500 index you want to


Suppose you hold an ETF on the S&P 500 index. You want to use the VIX to hedge your position. Can we empirically delta hedge the S&P 500 position with the VIX? Why or why not? Calculate and report the delta and the average returns to the hedged and un-hedged position. Measure and report the volatilities of each position. Measure and report the largest 3 monthly losses of the unhedged position. What are the losses of the hedged position in these three months? How do you interpret your results in terms of the effectiveness of hedging with the VIX?

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Financial Management: Suppose you hold an etf on the sampp 500 index you want to
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