If I long a call option of 1 mio USD/SGD for example, I understand that at strike price (ATM), delta is approximately +0.5.

To approximately hedge this delta, I also understand we can short 0.5 mio of the underlying USD/SGD spot.

What I don't understand is how is the delta hedged when we short a call option of 2 mio USD/SGD instead?


closed as unclear what you're asking by Raskolnikov, LocalVolatility, amdopt, Helin, byouness May 19 '18 at 18:20

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  • $\begingroup$ Can you elaborate? If 1 call option is 0.5 delta, then two call options are 1.0 delta and you would need 1.0 of the underlying to hedge it (although this hedge ratio will, as usual, change) $\endgroup$ – Jared May 11 '18 at 3:41