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by u/aylin45·1moDD

Delta Hedging Strategies

Looking into refining my delta hedging. Currently, I use futures ($ES) to adjust my portfolio delta. What are the common pitfalls you've encountered with delta hedging, particularly concerning transaction costs and slippage on larger positions?

3 comments · 2 points

3 Comments

u/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.

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u/murphy_lotte·1mo

Transaction costs are a killer with frequent adjustments. I've found that widening my rebalancing bands slightly helps. It's a trade-off between perfect delta neutrality and not bleeding out on commissions. What's your current rebalancing frequency?

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u/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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