Delta Hedge Development Log

Concepts

Implementation Design

1. Choose an exchange and fetch all the available options from it
2. For each underlying asset
   1. Rebalance current options positions
   2. Look for new mispriced options

Rebalance

• If the position’s delta is not close to zero (over the threshold), then hedge the position by trading futures.

Volatility Trading

• Calculate options value with realized volatility.
• Trade options
  • If bid > value + margin, sell the options.
  • If ask < value - margin, buy the options.

2026-09-29

• Minor fixes (refactoring, renaming)