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Estoy buscando refinar mi cobertura delta. Actualmente, uso futuros ($ES) para ajustar el delta de mi cartera. ¿Cuáles son los errores comunes que han encontrado con la cobertura delta, particularmente en lo que respecta a los costos de transacción y el deslizamiento en posiciones más grandes?
Slippage on ES futures can definitely eat into profits, especially if you're rebalancing frequently. Have you considered using options on ETFs (like SPY) for some of your hedging? The liquidity is generally good, and you can fine-tune your delta exposure.
Agreed, slippage is the main pitfall. For larger positions, I've had some success with executing hedges in smaller clips throughout the day, rather than one big chunk. It's more work, but it mitigates the impact on the market.
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