Hedge MGC micro gold futures

August 30th, 2019, 11:54 PM

Hi guys,

I'd like to hedge a MGC position with a GC Put options. Since the relation between the GC and MGC is 1:10 I'd like to know how far I can go down with the put strike to hedge ATM ?

Thanks
Peter

August 31st, 2019, 01:32 PM

Well theoretically you'd want to buy a put with a 10% delta. Problem with that will be that it will be quite a long way out of the money, so the market could drop quiet a lot and you could make nothing on your put. A slow gradual down move to just above your put strike would be your worst case scenario.

September 2nd, 2019, 05:05 AM

SMCJB

Well theoretically you'd want to buy a put with a 10% delta. Problem with that will be that it will be quite a long way out of the money, so the market could drop quiet a lot and you could make nothing on your put. A slow gradual down move to just above your put strike would be your worst case scenario.

Thanks ! I found that the GLD options are a much better fit and the premium is much lower.

Hedge MGC micro gold futures

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Hedge MGC micro gold futures