The volatility of changes in S&P futures mispricing relative to spot is estimated as 0.28%...
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The volatility of changes in S&P futures mispricing relative to spot is estimated as 0.28% per day. On the other hand, the daily volatility of S&P spot index returns is 1.61%. What will be the hedging effectiveness (in percent) of S&P futures contracts in the short-term hedging of S&P spot exposure?
Answer: 97
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