Hedging Brain Fart Question

Discussion in 'Options' started by Kirribilli, Sep 11, 2013.

  1. If I am long 1 VIX future contract do I need 10 VIX puts to hedge?
     
  2. The multiplier on VIX futures is 1000; VIX options 100. ATM deltas are 50, so you'd need 20 ATM to be flat delta. You need to be more specific.