Hedging ER2

Discussion in 'Index Futures' started by WCAG78, Jan 21, 2008.

  1. WCAG78


    There was a thread in ET about hedging ER2, the e-mini Russell 2000 futures, and I cannot find it now. Can you please post the link if possible? Thanks a lot.

    My normal trade size is several contracts, the typical trade length is 1 to 2 days, and I am short at ER2 at the moment. With such a volatile market, I wish to hedge my position.
  2. nitro


    There are several ways. The obvious way is to go long IWM against your short ER2. The ratio is about 7:1.

    Another way is to short the SDD, since the SDD goes higher when small caps go lower, and vice versa. But this is a statistical arb not really a hedge:


  3. WCAG78


    Thanks nitro.

    I know about IWM, but was wondering whether there could be a more effecient, cost-effective way. I remember there were several detailed methods in that thread. Can anyone find it now?
  4. WCAG78


    Oh dear, nobody knows? :(