In practice, how do people usually delta hedge options the day before expiry? Would you still use the black Scholes delta and then close out the position in the underlying immediately after expiry? After all, the day before expiry the option becomes "binary" in some sense, I.e. it expiries either ITM or OTM. For strikes that are more than 3 daily standard deviations away from spot, the BS delta would anyway be close to 0 or 1, but how about strikes closer to spot?