hedging effectiveness of Futures Contracts Assignment | Homework For You
May 30th, 2020
The volatility of changes in S&P futures mispricing relative to spot is estimated as 0.30% per day. On the other hand, the daily volatility of S&P spot index returns is 1.23%. What will be the hedging effectiveness (in percent) of S&P futures contracts in the short-term hedging of S&P spot exposure? Please give your answer to one decimal place.
Answer is 94.1. How do you solve?Get Finance homework help today