Suppose You Want to Hedge a Futures Contract a with Another

Multiple Choice

Suppose you want to hedge a futures contract A with another futures contract B. You calculate the minimum-variance hedge ratio ignoring daily resettlement (for example, by regressing daily changes in Contract A's prices on daily changes in Contract B's prices) . Suppose, however, that both contracts are marked-to-market daily. Which of the following statements is always true?

A) The tailed hedge ratio is lower than the untailed one.
B) The tailed hedge ratio is equal to the untailed one.
C) The tailed hedge ratio is greater than the untailed one.
D) None of the above is always true.