$2023$ to June $27,2023.$ The producer employs corn futures contracts that expire June $27,2023.$ Daily

historical data reveals the following

Correlation between corn spot and corn futures returns $=0\mathrm{.}95$

Variance of corn spot returns $=2\mathrm{.}4$

Variance of corn futures returns $=2\mathrm{.}7$

The following daily returns are observed over the life of the hedge

To calculate variances use the formula for a population: Var$(x)=\frac{{\displaystyle \underset{i=1}{\overset{N}{}}}(x_i-u{)}^2}{N}.$ You are not required

to tail the hedge.

To $4$ decimal places, which of the following statements is true?

a$)$ The hedged returns over the $3-$day period are $-0\mathrm{.}1473\%$ with a variance of $0\mathrm{.}0374\%.$

b$)$ The hedged returns over the $3-$day period are $0\mathrm{.}1473\%$ with a variance of $0\mathrm{.}0374\%.$

c$)$ The hedged returns over the $3-$day period are $0\mathrm{.}1500\%$ with a variance of $0\mathrm{.}0117\%.$

d$)$ The hedged returns over the $3-$day period are $-0\mathrm{.}1500\%$ with a variance of $0\mathrm{.}0117\%.$

e$)$ None of the above