The following table gives data on monthly changes in the spot price and the futures price for

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The following table gives data on monthly changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio.

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Question Posted: Jan 20, 2016 08:46 AM

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The following table gives data on monthly changes in the spot price and the futures price for

Question:

Spot Price Change Futures Price Change +0.56 +0.61 +0.63 -0.22 -0.12 -0.35 -0.44 +0.79 +0.60 +0.50 Spot Price Change Futures Price Change0.06 +0.15 +0.01 +0.70 +0.80 -0.51 -0.56 -0.41 -0.46 +0.04

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Fundamentals of Futures and Options Markets

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