What would be the cost of making your exposure Delta Neutral using a one year at-the-money Call Option on a single Diesel Fuel Contract exercisable only at the end of one year? What would be the price of hedging the entire exposure for one year?

Risk Free Rate 2%

Number of Vehicles 100

Kilometers per Vehicle per Annum 250,000

Litres per 100 km : 30

Total Kilometers for Fleet 25,000,000.0

Litres consumed for Fleet 7,500,000.0

Fuel Oil Contract Size Litres 200,000

Annual Required Contracts 37.50

Fuel Oil Volatility 30%

Current Spot Price per Litre $ 0.40