Delta cross-hedge

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Delta cross-hedge

A futures hedge that has both maturity and currency mismatches with an underlying exposure.

Delta Cross-Hedge

An investment strategy that involves taking a position on a call and a put on the same underlying asset. Because the price movements of the two options are closely correlated, a negative movement on the call should be offset by a positive movement on the put and vice versa. A delta cross-hedge should create a delta neutral position.