164.605. 1600 9. On March 1 the price of a commodity is $1.000 and the December futures price is $1,015. On November 1 the price is $982 and the December futures price is $981. A producer of the commodity entered into a December futures contracts on March 1 to hedge the sale of the commodity on November 1. It closed out its position on November 1. What is the effective price (after taking account of hedging) received by the company for the commodity? ($1,016) 10. A company will buy 1000 units of a certain commodity in one year. It decides to hedge 70% of its exposure using futures contracts. Spot price and futures price are currently $100 and $90. The one year futures price of the commodity is $90. If the spot price and the futures price in one year turn out to be $112 and $115, respectively. What is the average price paid for the commodity? (595) 11. Suppose that the standard deviation of monthly changes in the price of commodity A is $3. The standard deviation of monthly changes in a futures price for a contract on commodity B (which is similar to commodity A) is $3. The correlation between the futures price and the commodity price is 0.8. What hedge ratio should be used when hedging a one-month exposure to the price of commodity A? (0.80) 12. A company has a $36 million portfolio with a beta of 0.9. The futures price for a contract on an index is 900. Futures contracts on $250 times the index can be traded. What trade is necessary to increase beta to 1.22 (long 48 contracts)