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Estou procurando refinar meu delta hedging. Atualmente, uso futuros ($ES) para ajustar o delta do meu portfólio. Quais são as armadilhas comuns que vocês encontraram com o delta hedging, particularmente em relação a custos de transação e slippage em posições maiores?
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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