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Delta hedging

If you want to protect positions by option strategies (for example, as Volatility trading) you can use the DeltaHedgeStrategy hedging strategy by delta.

Delta hedging

  1. As a demonstration of the DeltaHedgeStrategy work the SampleOptionQuoting example is modified (for details see Volatility trading).

  2. The VolatilityQuotingStrategy strategy does not start, but instead it is passed as a child, for the DeltaHedgeStrategy strategy.

    C#
    // create delta hedge strategy
    var hedge = new DeltaHedgeStrategy
    {
        Security = option.GetUnderlyingAsset(Connector),
        Portfolio = Portfolio.SelectedPortfolio,
        Connector = Connector,
    };
    
    // create option quoting for 20 contracts
    var quoting = new VolatilityQuotingStrategy(Sides.Buy, 20,
            new Range<decimal>(ImpliedVolatilityMin.Value ?? 0, ImpliedVolatilityMax.Value ?? 100))
    {
            // working size is 1 contract
        Volume = 1,
        Security = option,
        Portfolio = Portfolio.SelectedPortfolio,
        Connector = Connector,
    };
    
    // link quoting and hending
    hedge.ChildStrategies.Add(quoting);
    
    // start henging
    hedge.Start();

    The DeltaHedgeStrategy takes strategies, working separately on their strike, as child strategies. Thus, DeltaHedgeStrategy controls the total position by all child option strategies.

  3. Completing the delta hedging:

    hedge.Stop();