The Covariance of the Change in Spot Exchange Rates and the Change

Multiple Choice

The covariance of the change in spot exchange rates and the change in futures exchange rates is 0.6606, and the variance of the change in futures exchange rates is 0.6060.The variance of the change in spot exchange rates is 0.9090.What is the degree of hedging effectiveness?

A) 0.61.
B) 0.90.
C) 0.87.
D) 0.82.
E) 0.79.