Dynamic Delta Hedging Explained In Excel

Explore the fundamentals of Dynamic Delta Hedging in this detailed tutorial, "Dynamic Delta Hedging Explained In Excel." Begin with an introduction to the delta hedging problem, and advance through practical steps such as time to maturity calculations and delta calculation using the Black Scholes model. Discover how to maintain a delta-neutral portfolio by adjusting your hedge weekly through trading shares, and understand how to calculate the costs associated with these strategies. This guide employs an example from John C. Hull's "Options, Futures, and Other Derivatives" to provide a clear application context in financial markets.
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Chapters:
0:00 - Dynamic Delta Hedging Problem Introduction
2:40 - Time to Maturity Calculations
3:19 - Calculate Delta Using Black Scholes
7:17 - Trade Shares to Hedge Weekly
9:33 - Calculate the Cost of the Hedge
*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

[@RyanOConnellCFA]

🎓 Tutor With Me: 1-On-1 Video Call Sessions Available
► Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/
💾 Download Free Excel File:
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[@tex120776]

superb explanation. Thank you

[@RyanOConnellCFA]

It is my pleasure! Thanks for watching

[@user-ku8kj9gu5h]

OMG, we just had an assignment about it this morning 🤯

[@RyanOConnellCFA]

I should have put this video out yesterday for you!

[@heshanpalliyaguruge6333]

Ryan you’re the goat!! This book is really really good

[@thatsnotvegan2272]

What am I supposed to do with shorter maturities? For example if I have 7/52 weeks, what am I supposed to do

[@steveengst6554]

I appreciate that you went step-by-step, column-by-column. The nagging, unanswered question is why Hull discounted the cost of dynamic hedge by 10% per annum instead of 5% for 20 weeks. If I adjust the HVol to 22% from 20%, I can get the numbers to work out with what I think is the correct way to discount the cost. However, I did test that Hull's HVol was accurate: 20%. Anyone, please, why did Hull discount the cost by 10% per annum?

[@RyanOConnellCFA]

Thank you for chiming in on this Steve and doing the calculations yourself. Where are you getting 10% rather than 5% for discounting?

[@pratsplays6829]

Hey Ryan Im a student preparing for the FRM part 1 i was wondering if its still relevant and was seeking guidance a lil talk will be really helpful, thank you!!!!

[@ducbaophan4078]

Can you do a video compare major between finance vs business analytics?