Delta Hedging

The Black & Scholes model tells us that the directional risk of the underlying can be eliminated by dynamically, continuously and frictionlessly hedging delta.

A natural question arises - Does delta replication allow us to manufacture an option without paying a premium?

Let's find out how well this idea works in practice. Please be aware that this is not trading advice, nor an endorsement of any trading strategies.

We can find a simple delta replicator bot in the examples folder our repository. The bot market-buys and sells the perpetual to mirror a target option’s delta.

To help you run this strategy in a cloud environment, we’ve recently published the “How to run a Thalex bot on AWS” guide.

Please note that rewards are capped to 750 ABC per customer for this campaign.

Participation, Rewards and ABC usage are subject to Terms of Use and ABCs Fair Use.

Campaign Terms

Eligibility

This campaign is open to anyone, including those who are not yet Thalex customers. However, since ABCs can only be used by Thalex customers, to claim the reward, you have to apply for a Thalex account within 30 days after the submission deadline.

Duration

This campaign runs until 30 September, 8AM UTC.

Reward Cap

Each customer can only claim the reward of 750 ABCs once.

Where can I find this CSV file?

As your code starts running, a file named "replicator.csv" will be generated. All trades executed by the delta replicator bot will be shown in this file. Please make sure you set up the cloud environment using our guide, as above.

ABCs Fair Use

• Asset Balance Credits, or "ABC", are governed under the Terms of Use.
• ABCs increase Available Margin on an Account. Thalex reserves the right to reverse any granting of ABC in the event of breach of the Terms of Use, including breaches of the Rulebook.
• ABCs don’t expire. However, Thalex reserves the right to remove any ABC balance from an Account following six months of inactivity.
• Thalex is the sole interpreter of the Terms and Conditions of each Campaign, of the Terms of Use and of the Rulebook.