The delta-neutral tag has no wiki summary.
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 ...
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 ...
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?
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
875 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, ...
10
votes
2answers
778 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 ...
