Fri, 14 Feb 2020 06:00:20 GMT language
Hey r/quant I just got a job at a small fund, one of our clients has been buying expensive put options with year long maturities and it crapped the shit out of his returns.
My team is tasked with figuring out a strategy to hedge the portfolio possibly using options/futures/gold/VIX whatever. I’m new and I’m not expected to contribute a lot but I still want to bring something to the table.
I’m looking for resources that (preferably quantitatively) compare the performance of a hedge using option vs futures. I know how both work (math degree + CFA) but for the life of me I can’t think past the basics. Looking for papers, reports, analysis to help me get started on my own analysis.
Any and all help greatly appreciated, thanks quants!
P.S. big bonus if the resource touches upon EURUSD/currency hedging too.