Based on the Price Sensitivity Hedge Ratio Approach,what Is the Optimal

question 58

Multiple Choice

Based on the price sensitivity hedge ratio approach,what is the optimal number of futures contracts to deploy,given the following information.The yield beta is 0.65,the present value of a basis point change for the underlying bond portfolio is $33,000,and the present value of a basis point change for the bond futures contract is $325.(Select the closest answer. )

• A)long 100 futures contracts
• B)long 55 futures contracts
• C)short 66 futures contracts
• D)short 22 futures contracts
• E)short 11 futures contracts

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