🛡️ Optimal Hedge Ratio Calculator
Hedge ratio and contract count
How to Use This Calculator
1
Enter Covariance & Variance
Estimate from historical changes.
2
Enter Exposure & Contract Value
Exposure to hedge and notional value per contract.
Formula
h* = Cov(ΔS,ΔF)/Var(ΔF)
Contracts = h* × Exposure / Contract Value
Frequently Asked Questions
Long or short?
Direction depends on exposure; h* gives magnitude, sign follows hedge direction.
What horizon?
Use data consistent with your hedging horizon.