I have a bunch of Euro Stoxx600 ETFs and I'm wanting to hedge it. Is a 30 day put back ratio in Stoxx50 the best way to hedge this? ... currently I have on an 8 day backratio while I look for a solution
hedging is as complicated as putting on a speculative position. Maybe more so. You have to have a view as to what you are hedging and what you are willing to give up for that hedge. and of course the structure will change as opportunities change. what you don’t want is your hedge event happen and your hedge doesn’t pay off. And second, your hedge event happens and you can’t monetize your hedge (ie whats the point of a 401k if you will ride through the drawdown anyway) there are some excellent pod casts on this in the chat.
Do you have an example? I heard about guys using it for hedging very short term calendar trades when needed, but I couldn't find much info on it.
> "We completely agree with your point about hedging complexity! Our analysis of CHF exposure revealed: > > **1. Non-linear surge in hedging costs** > - During the 2015 SNB event, EUR/CHF put option premiums reached **50%+ annualized**, with some funds' costs spiking **3-7 times** normal levels. > > **2. Strategy failure under rate spread shocks** > - The FED-SNB spread widened **38bps in a single day** in September 2022, causing **15%+ deviation** in delta-neutral hedge ratios. > > **Discussion**: What **leading indicators** (e.g. OIS-SOFR basis) do you use to anticipate spread shifts?"