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Webby's avatar

I got-11.5 Cumulative Delta and Hedged it with 5 Long underlying, 5 long call deep ITM, 1 short put deep ITM, 1 long call ATM? I get the principle of it I think, but guess there are better combinations to be had when hedging?!

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J Simpson.'s avatar

I'm giving this a try : in your example I get a Delta of -11.5.

To Delta hedge : buy 11 ATM calls, and buy 6 futures.

I don't know if my Delta hedge makes any sense or not.

Just trying to get a feel for this !

I would like to hear more about futures and hedge/Delta hedging.

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