Delta for QQQ options

Discussion in 'Options' started by syd697, Aug 5, 2002.

  1. syd697


    Hello all,

    Trying to get confirmation on the delta hedge ratio when playing QQQ options vs. the Nasdaq E-mini futures (NQ).

    If I were to buy 1 NQU2 e-mini future, how many QQQ put options should I buy to totally offset either using an at-the-money QQQ option, or a very deep-in-the-money QQQ option? I'm thinking at least 4 deep -in-the-money puts or 8 at-the-money puts? Thoughts.
  2. The QQQ trades at 1/40th the NDX. So essentially 100 shares of QQQ changes $2.50 for each point change of the NDX. The NQ changes $20 for each point change of the NDX. So you get 800 QQQ as roughly equivalent to 1 NQ.

    So if you're going delta adjusted, you'd need to divide the delta of the QQQ put in question into 8 to see how many contracts to buy for a complete delta hedge.