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Hedge ratio

The number of futures contracts needed to offset a given cash exposure, adjusted for size, volatility and the correlation between the two.

How a call option's delta changes with the underlying priceAn S-shaped curve rising from zero, passing through about a half at the strike, and flattening near one.Delta of a call option1.000.5008090110120Out of the moneyAt the moneyIn the money1.00 means it moves one-for-one with the stockdelta ≈ 0.50 at the strikeStrike 100Underlying price
Delta across the range of prices. Delta says how much a call's price moves for a one-point move in the stock. Far below the strike it is near 0 and the option barely reacts; at the strike it is about 0.50; far above it approaches 1 and tracks the stock.

In the simple case it is exposure divided by contract size. In practice it is scaled by a beta or regression slope, because the futures contract rarely moves one-for-one with the thing being hedged. For interest rate hedges the scaling uses dv01 rather than price.

Over-hedging turns a hedge into a speculation in the opposite direction; under-hedging leaves exposure uncovered. Both are common because the ratio must be re-estimated as portfolio value and volatility change — a hedge set once and forgotten drifts.

Example: a $5,000,000 equity portfolio with a beta of 1.15 against the S&P, hedged with es at index 5,000 and $50 per point. Contracts = 5,000,000 x 1.15 / (5,000 x 50) = 23 contracts short.

Related: cross-hedge, basis-risk, dv01, es, short-hedge

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