Hi Jack. If you have TOS, you can turn-on the beta weighting on the analyze screen and make sure you uncheck everything but your options in question. Then you can beta weight that against whatever symbol you want and TOS analyze will show you the curve. There is $SPX options. There is SPY options. There is the options on the /ES futures. Or you can delta hedge with stock like SPY. Or you can use any other symbol, doesn't really matter because the beta weight will figure out the hedge amount for you. The correlation doesn't even have to be very tight, TOS will show you how many shares of the hedge you will need to give you the desired net delta. You could even use QQQQ or DIA. This is advanced stuff.
From: OptionClub@yahoogro
Sent: Tuesday, February 16, 2010 8:06 AM
To: OptionClub@yahoogro
Subject: [TheOptionClub.
This is a question about Dynamic Delta Hedge as presented in the online session by Dr. John Summa.
I have the following position in SPX
Vertical (10) SPX March Bear Call Spread 1100/1105 for credit of 2.00
As of today 2-16-2010 10:20 am EST the SPX is at 1088 and is moving close to my short of 1100. This is up 11.26 for the day (1.03%)
.
I am considering putting on a(1) FOM Call using the SPX 1110 or 1115.
My question is: What are the other underlying that would be candidates for hedging the SPX?
Perhaps $SXP S&P 500 mini-spx Option Index to get finer granularity? Or others?
Thanks, Jack
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