0.660, This means that the size of the futures position should be 70.4% of the size of the company's exposure in a three-month hedge. 0.642, This means that the size of the futures position should be 70.4% of the size of the company's exposure in a three-month hedge. Question 12 (1 point) Consider a two-period binomial model in which the underlying stock is currently trading at $30 and can go up 14 per cent or down 11 per cent each period. The risk free rate is 3 per cent per period. Each period is one year. For a European call option expiring in two periods with an exercise price of 30, what is the value of the call option at expiry at node D? 0 0.44 5.08 8.99 y Question 13 (1 point) Option Rhos have the following characteristics