Hello, I'm new to future and option. Today I came across Delta Hedged portfolio and I was very confused. If I have 1 call option, is it I need one future contract in order to build a delta hedged portfolio.
Say for example:
Simulation date: Mars 31st 2011
Using 10 000 call options on S&P500 whose characteristics are
Exercise type: European
Maturity: May 31st 2011
Strike: 1400
What should I do if I want to know how many future contract CME S&P 500 Futures I need to get a delta hedged portfolio. And say at after a month from the simulation date, what is the impact of the delta hedged portfolio if the strike of S&P500 go up or down (+-1%,+-10%). And do you think this portfolio is good?
I am really appreciate for any help.
Thanks
Say for example:
Simulation date: Mars 31st 2011
Using 10 000 call options on S&P500 whose characteristics are
Exercise type: European
Maturity: May 31st 2011
Strike: 1400
What should I do if I want to know how many future contract CME S&P 500 Futures I need to get a delta hedged portfolio. And say at after a month from the simulation date, what is the impact of the delta hedged portfolio if the strike of S&P500 go up or down (+-1%,+-10%). And do you think this portfolio is good?
I am really appreciate for any help.
Thanks
