The delta-neutral tag has no wiki summary.
4
votes
1answer
349 views
Discrete time Ho lee model
This is my first question in this forum. I am stuck with my current testing the Ho Lee model. I am having difficulty computing the perturbation factor $\Delta$.
The ho lee model should be completely ...
1
vote
0answers
223 views
Delta-Omega Hedging [closed]
I am currently trying to understand the in's and out's of options and more specifically hedging. I came across a document that was talking about Delta Hedging which is just making sure the delta of ...
7
votes
1answer
657 views
How should I estimate the implied volatility skew term when calculating the skew-adjusted delta?
I'm trying to come up with the implied volatility skew adjusted delta for SPY options. I'm working with the following formula:
Skew Adjusted Delta = Black Scholes Delta + Vega * Vol Skew Slope.
I ...
12
votes
5answers
876 views
Why are options trades supposed to be delta-neutral?
I'm reading Natenberg's book, and he says that all options trades should be delta neutral.
I understand that this prevents small changes in the underlying price from changing the price of the option, ...
5
votes
2answers
3k views
How do I calculate the delta of a convertible bond?
How can I find the delta of a convertible bond to be used for hedging?
10
votes
2answers
779 views
Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures
I can't find S&P 500 index (SPX) futures data with Greeks to create delta-hedged portfolios. Do these data exist? I have access to most of the common data sources.
In the meantime, I am trying to ...
18
votes
4answers
2k views
Trading a synthetic replication of the VIX index
One cannot directly buy and sell the VIX index. Theoretically, however, one could approximate the index by purchasing an at-the-money straddle on the SP500, then delta-hedging the straddle.
Does ...
