Download This PaperThe Dynamic Hedging of Weekly S&P-500-Futures Options. A Cashbot Case Study
11 Pages Posted: 22 Jan 2016
Date Written: January 21, 2016
Abstract
Cashbot is a fully autonomous trading bot. I have added recently S&P-500 weekly Options trading. This is a hot topic with a lot of risk and fun. The strategy is currently tested with paper-trading. This note analyzes a dynamically hedged short Strangle. This note does not give definite answers how to handle such a position in a complicated market situation. But it addresses several important practical questions.
Keywords: Weekly S&P-500 Options, Dynamic Hedging
Suggested Citation: Suggested Citation
Donninger, Chrilly, The Dynamic Hedging of Weekly S&P-500-Futures Options. A Cashbot Case Study (January 21, 2016). Available at SSRN: https://ssrn.com/abstract=2719500 or http://dx.doi.org/10.2139/ssrn.2719500
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