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?!
Yes, I got you. Is it also better to have less positions open when hedging to keep on top of things? eg I had 4 different hedges whilst the example you gave me in reply only had 2?
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?!
Yes, I got you. Is it also better to have less positions open when hedging to keep on top of things? eg I had 4 different hedges whilst the example you gave me in reply only had 2?
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.
ty for the post. to answer your question couldn't you just do nothing since your cumΔ is already 0? here is my work:
S 4x futes = (-4)x(-1) = Δ4
S 3x ATM c = (-3)x(-.5) = Δ1.5
L 6x deepITM p = (6)x(-1)= Δ-6
cumΔ=0
for next post mark me down for hedging w/futures
yup helps a lot. thanks for responding. i see what i did wrong there.