There are only quarterly contracts (3,6,9,12) for SX5E futures. In practice, how do we hedge SX5E option at expiry for non-quarterly contracts (say April)?
This is just like any other option. For example, if you are trading an IBM option, you hedge with IBM stock, which doesn't expire at all, (obviously).
You then sell your hedge in the gamma-storm that enuses at expiry.
For longer term options where you have an expiry that goes way past the futures you have two choices:
- Trade the rolls periodically and/or
- Exchange some of your delta into longer term swaps