Hedging with synthetic forward on SPY - how-to and is it the best option?

Hi,

I am looking for a way to delta hedge my position on SPX with an instrument that has 10 delta. That is, if I am using the emini I will have 50 delta for each contract, that means I can't hedge 30 delta.

I found 2 options - SSF on SPY or Synthetic Forward on spy, which gives me roughly 10 deltas and provide precise hedging.

Problem is, the spreads are huge and not liquid. My questions are:

1. Any other ideas on how to hedge an SPX position?
2. How do I construct a synthetic forward? I see that each strike and month have a different delta and theta and that the prices are not always equal.

Thanks

 

You can use an SPX option that has 10 delta. That way all your positions are 1256 contracts. I would keep this simple.

 

Hedging with option will change the greeks of my position. I only want to hedge delta, withouth introducing new theta and gamma

 

100 shares of SPY is 10 delta of SPX.

 

yes, but the cost 24,500 dollars, even with margin is $6000 for 10 deltas