Automated Delta Hedging

[Mongoose42]

Is there a broker or platform that offers automated delta hedging? That is, automatically generating stock orders if a position delta exceeds a pre-determined threshold?

I have to think that this feature would be relatively straightforward to program, so that one can scalp long gamma positions. It might also be useful to manage the risk of short gamma positions, but I would think that one would want to manage that manually.

If no service provides this, has anyone built this functionality? I would think that Excel would be a poor choice for implementation, but my programming skills are currently limited to VBA for now. Perhaps Matlab might work?

 

[rosy2]

Quote from Mongoose42:


I have to think that this feature would be relatively straightforward to program

I would think that Excel would be a poor choice for implementation, but my programming skills are currently limited to VBA for now. Perhaps Matlab might work?

given that you have limited programming skills how can you assume this is relatively straight forward?

anyway i think IB tws has this

 

[Maverick74]

Quote from Mongoose42:

Is there a broker or platform that offers automated delta hedging? That is, automatically generating stock orders if a position delta exceeds a pre-determined threshold?

I have to think that this feature would be relatively straightforward to program, so that one can scalp long gamma positions. It might also be useful to manage the risk of short gamma positions, but I would think that one would want to manage that manually.

If no service provides this, has anyone built this functionality? I would think that Excel would be a poor choice for implementation, but my programming skills are currently limited to VBA for now. Perhaps Matlab might work?

"Trading options means that you could end up with long or short stock positions on expiration. Monday morning can be frustrating coming in long or short stock and having the market dictate your profit or loss. Hedging positions on expiration Friday is easy, if you trade only one stock, but what if you trade 5, 10, or even 50 stocks. Handling expiration delta risk can be a daunting task.

Obsidian offers an unique Delta Hedging module. This system will auto-hedge either your day-to-day or expiration delta risk on option expiration. You don't have to worry any longer about improperly hedged positions or long/short stock positions on the day after expiration.

For those with large option portfolios Exp-Delta module is a,time, money, and risk manager – all in one. More importantly – a life saver!"

http://www.silexx.com/obsidian/modules

 

[sle]

I wounder, would it use diferent process to delta hedge short gamma positions vs long gamma positions?

 

[rmorse]

Quote from Mongoose42:

Is there a broker or platform that offers automated delta hedging? That is, automatically generating stock orders if a position delta exceeds a pre-determined threshold?

I have to think that this feature would be relatively straightforward to program, so that one can scalp long gamma positions. It might also be useful to manage the risk of short gamma positions, but I would think that one would want to manage that manually.

If no service provides this, has anyone built this functionality? I would think that Excel would be a poor choice for implementation, but my programming skills are currently limited to VBA for now. Perhaps Matlab might work?

Actant Extreme uses scripting to run strategies. It also allows for delta neutral trading and gamma scalping. This program is not cheap but worth it for traders with enough capital and a strategy they would like to automate.

 

[IV_Trader]

Quote from Maverick74:

"Trading options means that you could end up with long or short stock positions on expiration. Monday morning can be frustrating coming in long or short stock and having the market dictate your profit or loss. Hedging positions on expiration Friday is easy, if you trade only one stock, but what if you trade 5, 10, or even 50 stocks. Handling expiration delta risk can be a daunting task.

Obsidian offers an unique Delta Hedging module. This system will auto-hedge either your day-to-day or expiration delta risk on option expiration. You don't have to worry any longer about improperly hedged positions or long/short stock positions on the day after expiration.

For those with large option portfolios Exp-Delta module is a,time, money, and risk manager – all in one. More importantly – a life saver!"

http://www.silexx.com/obsidian/modules

Mav ,

Do they handle the skew ( if one exists) ?

This is the only thing holding me from going full automation

 

[Mongoose42]

Maverick74: Thanks for the heads up. I will check out Obsidian. The delta hedging module looks like it can meet my needs.

rmorse: I'm familiar with Actant from the past, but it seems like they have improved their product significantly from the last time I saw it. I'll check this out too.

 

[rmorse]

Quote from IV_Trader:

Mav ,

Do they handle the skew ( if one exists) ?

This is the only thing holding me from going full automation

I believe Obsidian uses implied volatility calculated from the markets. I don't think it allows you to use your own curve.

 

[IV_Trader]

Quote from rmorse:

I believe Obsidian uses implied volatility calculated from the markets. I don't think it allows you to use your own curve.

markets iv will do


Obsidian is 400$ per months ; how much is Actant Extreme ?

 

[rmorse]

Quote from IV_Trader:

markets iv will do


Obsidian is $400 per months ; how much is Actant Extreme ?

Obsidian is an excellent platform for $400/month, I offer it myself. Actant extreme is $2500/month plus a direct market feed like Activ. For about $3000/month you get something that was designed for market makers and x-market makers to aggresively interact in the option markets with pre set strategies like buying/selling volatility. You can Script up to 4 strategies from their library or write your own.

Obsidian is a high touch platform while Acant Extreme is that plus a low touch automated platform.