Suppose that the standard deviation of quarterly changes in the prices of a stock is 0.81, the standard deviation of quarterly changes in a futures price on the stock is 0.80, and the coefficient of correlation between the stock price and the futures price is 0.65. Which of the following statements is the most accurate?

A. The optimal hedge ratio for the three-month contract on the stock position is 0.64 and it

suggests that the size of the futures position should be 64% of the size of the stock exposure in a three-month hedge.

B. The optimal hedge ratio for a three-month contract the stock position is 0.64 and it suggests that the size of the stock exposure in a three-month hedge should be 64% of the size of the futures position.

C. The optimal hedge ratio for a three-month contract the stock position is 0.66 and it suggests that the size of the futures position should be 66% of the size of the stock exposure in a three[1]month hedge.

D. The optimal hedge ratio for a three-month contract the stock position is 0.66 and it suggests that the size of the stock exposure in a three-month hedge should be 66% of the size of the futures position.