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Old Mar 31st, 2012, 09:45 AM   #1
Straddle1985
 
 
Join Date: May 2010
Posts: 12
I was wondering if there might be a simple way to hedge a portfolio with different stocks and options. Suppose I got the following holdings in my portfolio:

- long 150 MSFT stocks
- short 2 WFC 35 calls
- long 45 AAPL
- short 3 GLD puts
- long 10 BAC 15 calls
- ...

I know for the stocks I can figure the total beta amount and then hedge them using SPY, and I could make the options delta neutral but that would be expensive and time consuming. Isn't there a more simple way to calculate the total amount I'm correlated with SPY for all the parts in the portfolio? Ideally I would like to hedge my holdings once a week by taking a long or short position in some kind of index.
Is this possible or should I hedge every product differently in my portfolio?
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Old Apr 1st, 2012, 07:31 AM   #2
FrankSlaughtery
 
 
Join Date: Aug 2010
Posts: 849
Quote:
Quote from Straddle1985:

I was wondering if there might be a simple way to hedge a portfolio with different stocks and options. Suppose I got the following holdings in my portfolio:

- long 150 MSFT stocks
- short 2 WFC 35 calls
- long 45 AAPL
- short 3 GLD puts
- long 10 BAC 15 calls
- ...

I know for the stocks I can figure the total beta amount and then hedge them using SPY, and I could make the options delta neutral but that would be expensive and time consuming. Isn't there a more simple way to calculate the total amount I'm correlated with SPY for all the parts in the portfolio? Ideally I would like to hedge my holdings once a week by taking a long or short position in some kind of index.
Is this possible or should I hedge every product differently in my portfolio?
dump the entire port into TOS or IB or any option analyzer, find the port beta, buy the required number of weekly spy puts, boom done. not the best solution b/c the beta number could fluctuate but close enough for an early sunday morning.
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