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Question 23 4 points Saved The standard deviation of quarterly changed in the price of a commodity is $0.65, the standard deviation of quarterly changes
Question 23 4 points Saved The standard deviation of quarterly changed in the price of a commodity is $0.65, the standard deviation of quarterly changes in the futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8. The minimum variance hedge ratio for a 3-month contract is: Need more information to calculate this ratio 0.864 0.642 0.372 What is the elevator's hedging position? there is no need for the elevator to hedge the elevator short hedges from September 1 to October 1 the elevator long hedges from September 1 to October 1 O the elevator long hedges from September 1 to November 1 O the elevator short hedges from September 1 to November 1 Question 24 4 points Saved An elevator operator typically purchases huge amounts of grain from farmers. Assume the following prices. Date Spot Price /Bu March Futures Price September 1 $2.10 $2.34 October 1 $2.05 $2.20 November 1 $2.20 $2.38 It costs the elevator $0.05/Bu/month to store the grain. An elevator purchases grain from a farmer on September 1. He has no immediate buyer, so he puts it into storage and hedges. On November 1 he has a buyer at one cent over the spot price. He thus sells his grain at that price and immediately liquidates his hedge
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