zwjy

I think you can calculate # of futures to sell = [(0 - 2.5) / 1] * [300 million USD / (1217.6 * 250)].

This of course assumes that the S&P index has beta of 1, which is probably incorrect (most likely 0.98 or something around there).


300 million is from 200 mn pounds * 1.5 exchange rate, and I multiply by 250 as that is the S&P multiplier (also assumed).

Hence, this is why I wouldn't even attempt this question on the real exam, as there are so many variables that are subject to question that any error in a number throws everything else off. F that.