Automated Delta Hedging

[silexx]

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.

Correct, by default Obsidian uses IV in the delta hedging module.
However, we implemented a skew module a little while ago that will allow you to set your own skew curve and apply it globally throughout the platform: http://www.silexx.com/obsidian/manual/volatility-skew

I also know of a couple guys that use our API and built their own delta hedging tools.

 

[fullautotrading]

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?

If you work with IB API, you receive that information in the tickOptionComputation event (https://www.interactivebrokers.com/en/software/api/apiguide/java/tickoptioncomputation.htm), along many other useful things (eg.: undPrice, delta, vega, theta, gamma, impliedVol, etc.).

So if you are familiar with coding you can get the information and create place your order on the condition you like. (Anyway. nothing is going to be really straightforward when coding properly a trading app that has to go live ).