Suppose that the standard deviation of monthly changes in the price of commodity A is $$1\mathrm{.}56.$ The standard deviation of monthly changes in a futures price for a contract on commodity B $($which is similar to commodity A$)$ is $$1\mathrm{.}78.$ The correlation between the futures price and the commodity price is $0\mathrm{.}92.$ Which of the following is correct?

Group of answer choices

The optimal hedge ratio is $104\mathrm{.}97\%,$ which means it is optimal to hedge $104\mathrm{.}97\%$ of the exposure.

The optimal hedge ratio is $80\mathrm{.}63\%,$ which means it is optimal to hedge $100\%$ of the exposure.

The optimal hedge ratio is $80\mathrm{.}63\%,$ which means it is optimal to hedge $80\mathrm{.}63\%$ of the exposure.

The optimal hedge ratio is $100\%,$ which means it is optimal to hedge $100\%$ of the exposure.