Tuesday, February 16, 2010

RE: [TheOptionClub.com] Delta Hedge for SPX

 

You could possibly use the SPY ETF (and/or its options) to hedge , it is essentially 1/10 the size of SPX.

 

Ken

 

 

From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On Behalf Of jackcrawford72
Sent: Tuesday, February 16, 2010 11:06 AM
To: OptionClub@yahoogroups.com
Subject: [TheOptionClub.com] Delta Hedge for SPX

 

 

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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