I follow a Twitter account that posts what big trades occured in the SPX pit. I understand that the market makers/traders in the SPX pit hedge their positions by taken positions in the E-Mini S&P Futures contract (ES). Are all they doing is hedging their delta? Let's say for example, a Market Maker needs to buy a November Put Spread, 1220/1210 (Buy 1220 strike, Sell 1210 Strike). The Net Delta of this position at the time it is put on is: -.06 or just simple -6 deltas. The cost is, $3.85/contract. Since we know that futures contracts (or any underlying asset with options) holds a delta of 100 deltas. So in order to hedge against the -6 deltas on the Put Spread, would need to purchase 16.667 contracts of the 1220/1210 Put Spread. Since you can't buy less than a contract, we will round it up to 17 contracts. With the purchase of 17 contracts of the SPX Nov 1220/1210 Put Spread, you are not short 102 Delta's. It would cost you a total of $6,545 ($3.85 x 17 contracts x $100 contract multiplier). This is the part I'm not totally clear on....Would I just buy 1 ES Futures contract, since then I would be delta neutral, short only 2 Delta's (100-102) or would I buy 17 ES contracts?