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
Correct Answer:
Verified
Correct Answer:
Verified
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