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.
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.