[How to use the DDH tool for sol options, real-time teaching]

DDH, in Chinese, means dynamic hedging. Delta neutrality is achieved through parameter settings.

When the hedging threshold is set, when the delta value of positive and negative deviation is reached, hedging will be triggered to rebalance delta neutrality.

Therefore, the smaller the threshold, the more frequent the triggering.

Double sell options should be triggered at the critical point as much as possible.

How to calculate the critical point? As shown in the figure.

I opened a double sell position at 238, sold call 255, and sold put 222

The total time value is 84 dollars.

Set the threshold to rise or fall 12 dollars to trigger hedging

12×gamma total value 0.88, about delta total value 10.5

As shown in the figure↓

If you have any questions, please discuss in the Ice and Fire Island community.