Hedging Index Futures?

Discussion in 'Index Futures' started by wdscott, Apr 30, 2006.

  1. wdscott

    wdscott

    What is the formula for hedging index futures?


    Let say I have 20 contracts of E-Mini Russell and I want to hedge with E-Mini SP contracts. How many contracts of ES are required?

    I know I have to account for the different Beta and volatility levels between indices, just looking for a "fast and dirty" way to calculate intraday?


    Thanks,
    WD
     
    #1     Apr 30, 2006
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  2. Covert

    Covert

    #2     Apr 30, 2006
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  3. wdscott

    wdscott

    Thanks Covert. That's exactly what I was looking for!

    Dave
     
    #3     Apr 30, 2006
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