You are asked to design the hedging strategies. You regress the oil price changes (S) on 1) oil A futures price changes (F1) and 2) oil B futures price changes (F2). You find the following for oil A: S = 0.05 + 0.94F1; R2 = 77% and for oil B: S = 0.12+0.96F2; R2 = 80%. Which one of the following is the best hedging strategy?

(a) oil A; optimal hedging ratio is 0.94. (b) oil A; optimal hedging ratio is 0.77. (c) oil B; optimal hedging ratio is 0.96. (d) oil B; optimal hedging ratio is 0.8.