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發表於 21-1-2010 03:39 PM 只看該作者
引用:
原帖由 lofu 於 21-1-2010 02:52 PM 發表
short put 212 oi 14:51p 319x5
Bear Hedge fut x 3 at average 20943
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There is a deficiency to the above hedging, now
delta(sp)=0.77x5=3.85 & delta(fut)=-1x3=-3 ==> overall 0.85
I should do 4 bear futs
If mkt will continue to drop tomorrow, I would adjust my hedge combination to make zero delta.
Anyway, no worry be happy!!
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本帖最後由 lofu 於 2010-1-21 19:02 編輯 ]