Delta Risk Adjuster
The Delta Risk Adjuster incorporates the aggregate delta risk of an
options portfolio directly into the theoretical value of each option and
future in the portfolio.
The Delta Risk Adjuster works in tandem with the fastFutures Algo
and autohedger to insure that the cheapest and most effective
instrument is used to reduce the overall riskiness of the portfolio.
The Algo uses a customized power function along with a few
user-defined parameters (e.g. target delta position, aggressiveness) to
constantly lean the theoretical values of an options and futures portfolio
to reduce delta risk.
Algo is currently under construction