I think it is something you can do. At expiration if you're outside the wings the delta goes to zero so if the fly blows out to either side your hedge should offset losses but your delta would also be constantly changing as expiration approaches so you would have to keep hedging in a way that is similar to gamma or reverse gamma scalping for those that trade long or short straddles. Theoretically if you are say just long a lot of straddles you would sell stock as the price goes up and buy stock when the price goes down trying to offset the theta loss in the position. At the moment i'm trading pretty small with a variety of one lot flies and looking to add much more capital by May. Mine are usually directional so usually on the call side have a positive delta to start with so if sold stock and the price fell towards or below my first wing this profit if the stock declined on the hedge could pay or pay for a chunk of the cost of the fly. Perhaps the strategy is better for a true directionless fly to hedge as the delta changes. Probably some more experienced fly traders who could weigh in.
