Kellog's Cereal will purchase 1.5 million bushels of durum wheat for breakfast cereal production. The company will use CME's SRW Wheat futures (ZWZ3) contract to hedge against a possible price rise. From historical data, Kellogs has estimated the following parameters: The standard deviation of wheat futures: 0.047 The standard deviation of durum wheat: 0.033 The correlation coefficient between wheat futures and durum wheat: 0.85 Kellogs will select a hedge ratio closest to 0.60 1.21 1.00