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I bought what was a 25 delta dollar call with a strike of 116.75 with expiry of 19 Nov on Oct 19 drivin by a kink in the smile. I hedged of the delta, which was good, vol dropped late last week and early this weak so my gamma shot up and it got to the point where at spot low delta was 5 delta. Spot popped and so did vol, so I've made delta and vega. Now it seems like 117 by 19 November is realistic. So I've got a conundrum...do I hedge my delta or leave it unhedged? For now I'm hedging less frequently, each half figure, and luckily, because vol popped, I'm less long gamma, so my hedges are smaller in size. I think I'm going to stick to this strategy to 116, and then hedge every 10 pips until 116 so I can make bunch of little balances, and after 116.50 I will only hedge below, but leave the upside uhnedged so that my spot position doesn't offset my options position too much. Maybe I'll only hedge at specific delta levels. Any thoughts on 117 by 19 nov?
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