I was reading Dynamic Hedging by N. Taleb and in the chapter dedicated to the delta, there is this example of a trader position in options (one-month European call, flat yield curve, forward is equivalent to spot, spot price is 100 i guess) :

  • He is long 1 million dollars of the 96 call (delta .824).
  • He is short 1 million dollars of the 104 call (delta .198).
  • His total continuous delta is long 624,000 dollars.
  • He could hedge it by selling 624,000 dollars forward

Following by this table :

delta hedging

I didn't succeed to retrieve the same figure, I don't know if i missed something or we can't without the options prices.



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