a. c. 20. Assume futures for a particular asset are available with maturities for every month. A company is hedging the

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A C 20 Assume Futures For A Particular Asset Are Available With Maturities For Every Month A Company Is Hedging The 1 (45.77 KiB) Viewed 48 times

a. c. 20. Assume futures for a particular asset are available with maturities for every month. A company is hedging the purchase of the underlying asset on June 30th. Which futures contract would be the most appropriate for the company to use for hedging purposes? June contract d. August contract b. July contract e. May contract It doesn't matter; any contract will work. 21. Suppose that the standard deviation of monthly changes in the price of commodity A is $2. The standard deviation of monthly changes in a futures price for a contract on commodity B (which is similar to commodity A) is $3. The correlation between the futures price and the commodity price is 0.9. What hedge ratio should be used when hedging a one month exposure to the price of commodity A? a. 0.90 b. 0.67 c. 1.45 d. 0.60 1.00 22. Which of the following terms most accurately describes the forward curve for Silver futures contracts over the next four months? Prices are in troy ounces. Each contract is for 5,000 troy ounces. Contract Maturity Futures Price May 2022 $24.630 July 2022 $24.685 September 2022 $24.780 December 2022 $24.910 e. a. Discretionary b. Backwardation c. Contango d. Inverted e. Exponential