Could someone with option market making experience tell me usually at what frequency do the major option market makers delta-hedge their positions (say for US single stocks or equity indices)? Obviously if the underlying did not move then they do not need to hedge at all and if underlying moves a lot then they need to hedge more frequently. I just want to have a general sense on it (seconds, minutes, hours, days?).
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$\begingroup$ You'll find posts or research on why continuous delta hedging at some set frequency doesn't make sense, usually boils down to liquidity/transaction costs/exc.. exc... What most firms do is set risk budgets or thresholds that they will delta hedge when required. $\endgroup$– pyCthonDec 31, 2021 at 17:43
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$\begingroup$ @pyCthon yes I totally understand, but that doesn't contradict my question. $\endgroup$– MainComDec 31, 2021 at 18:00
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