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…