Strumenti Utente
en:hedging
Differenze
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en:hedging [2017/10/23 11:27] playoptions |
en:hedging [2017/12/29 14:52] (versione attuale) playoptions |
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| - | Delta Protection Range +/-: allows you to set a threshold for the value of the delta to be protected, so not delta to 0, but for example +/- 5 €. The system will keep the strategy delta within the set threshold. As soon as the delta exceeds the threshold (positive or negative), the delta will be brought to 0 and the set thresholds will revert to +/- 5 € in the example. | + | Delta 0 with tolerance-: allows you to set a threshold for the value of the delta to be protected, so not delta to 0, but for example +/- 2 €. The system will keep the strategy delta within the set threshold. As soon as the delta exceeds the threshold (positive or negative), the delta will be brought to 0 and the set thresholds will revert to +/- 2 € in the example. |
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| * Contracts: the system hedge the delta only after the specify number of contract definite in Hedge Min. Quantity is reached. It is possible to choose the minimum amount for every instrument; | * Contracts: the system hedge the delta only after the specify number of contract definite in Hedge Min. Quantity is reached. It is possible to choose the minimum amount for every instrument; | ||
| * Time Interval: the system checks whether is necessary hedge the delta every Time Interval (minutes); | * Time Interval: the system checks whether is necessary hedge the delta every Time Interval (minutes); | ||
| - | * Time of Day: The system checks whether is necessary hedge the delta in a determined hour of the day ; | + | * Time of Day: The system checks whether is necessary hedge the delta in a determined hour of the day; |
| - | * Price Change: The system checks whether is necessary hedge the delta after a % underlying price change . | + | * Price Change: The system checks whether is necessary hedge the delta after a % underlying price change. |
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| + | The "Contracts" mode is equivalent to using the "Delta 0 with tolerance" that can be set on the Delta Thresholds tab. Each contract has its own delta value therefore, in the example, setting a minimum quantity of 2 shares (with a delta 1 €) is equivalent to having set 2 € in the Delta Threshold value.\\ | ||
| + | For all other modes (Time Interval, Timo of Day, Price Change) the Delta Threshold acts as primary filter, so until you have exceeded the set value the hedging system will not make corrections independently of any other setting frequency. | ||
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en/hedging.1508750826.txt.gz · Ultima modifica: 2017/10/23 11:27 da playoptions
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