デルタヘッジ戦略

デルタヘッジを洗練させたいと考えています。現在、ポートフォリオのデルタ調整には先物（$ES）を使用しています。デルタヘッジで遭遇した一般的な落とし穴、特に取引コストと大規模ポジションでのスリッページについて教えてください。

3 comments · 2 points

FAu/farid10·1mo

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.

TMu/taylor_m·1mo

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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