Near midday Wednesday a trader on the PHLX paid $1.40 for 2262 Sep 70 puts and $5.60 for 2778 Sep 80 puts, both opening, against a delta hedge
purchase of 210K shares for $77.4523.
* the J Equations (19), we delta hedge
MIXIT, a provider of order management and execution management systems, has added pairs trading and delta hedge
options capabilities from Credit Suisse to its algorithmic trading suite.
ING Groep NV (NYSE: ING) (ING.AS) has said that it has bought 13,670,000 depositary receipts for ordinary shares for its delta hedge
portfolio, which is used to hedge employee options and facilitate employee share programmes.
(57) Hasen recognizes that delta hedging produces results that are equivalent to actual options and would base the taxation of actual options on a hypothetical delta hedge
. As in this article, Hasen's delta hedging model bifurcates a call option into stock and debt.
Delta hedging is sometimes referred to as dynamic hedging because a delta hedge
automatically requires changes in response to market movements.
Largest single-stock trade this morning is printed on the PHLX in Schwab, where a customer bought 75K Aug 40 puts for 19c and sold 77K Aug 41 calls for 2.05, vs a delta hedge
of 7.3M shares at $42.905.
However, over time, the patterns of fluctuations of the delta hedge
ratios under the discrete and continuous hedging formulas rise and fall together (see Figure 2a).
Trader on the paid 22c for 45K Aug 40/41.5 put spreads this morning tied to a delta hedge
of 675K shares at $42.75.
* While the delta hedge
overhedges (negative mean), the mean of the hedge error for the risk minimization is close to zero.
Trader sold 36K June 43 calls for 20c, shortly after the open today tied to a delta hedge
of 1.8M shares (50delta) $43.04.