The change in spot prices has a standard deviation of $1. The change in futures prices has a standard deviation of $1.25. The correlation of spot and futures prices is 1. If the daily risk free interest rate is $R = 1.000055$ (corresponding to a continuously-compounded rate of 2% per year), then what is the tailed hedge ratio for a spot position hedged by a 30-day futures contract?
A) 0.7889
B) 0.7922
C) 0.7994
D) 0.8000

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The Answer of The change in spot prices has a standard deviation of $1. The change in futures prices has a standard deviation of $1.25. The correlation of spot and futures prices is 1. If the daily risk free interest rate is $R = 1.000055$ (corresponding to a continuously-compounded rate of 2% per year), then what is the tailed hedge ratio for a spot position hedged by a 30-day futures contract?
A) 0.7889
B) 0.7922
C) 0.7994
D) 0.8000

The Change in Spot Prices Has a Standard Deviation of $1