I always immediately hedged delta with the underlying, unless there was an option I could hedge delta with, which usually is not the case, then looked for other options to hedge out the residual risks. The closer to the strike traded (inter or intra month) the better. It might sound weird, but for me anything above the underlying I refer to as a call and anything below it a put. To me deep puts are calls, and deep calls are puts.
Thanks. Couple of more questions if you don't mind: 1. Did you continue dynamically hedge with underlying or managed with balancing out your total delta? 2. Why did you hedge with underlying instead of future? Best regards,
1- Don't understand the question as the wording is a bit confusing. 2- Underlying and Future mean the same thing. Unless it was equities where underlying was the individual equity. I suggest you read Taleb Dynamic Hedging. Never read it myself, but thumbed through it and it was well written and quite detailed. He also was quite competent and knows his stuff.