Delta hedging minimizes directional risk by continuously adjusting the underlying position based on the option's delta.

The key challenge is balancing execution efficiency with effective risk management. Hedging too often raises transaction costs, while hedging too infrequently increases exposure.

Delta hedging effectively, with an optimal balance between minimizing execution costs and reducing exposure to price variations, is an expert-level task.

How to Calculate Delta Hedging Costs

All necessary data is available through our API.

• Use the Mark Price Historical Data endpoint to access historical data.
• Once the data is ready, play around with different delta hedging strategies and share your best approach.

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

Rules

• The delta hedging calculation must cover at least 1 week of the target option's trading period.
• Only options with the following expiries will be considered:
  • 31JAN25, 27FEB24, 28MAR25, 25APR25, 27JUN25
• Your output must include realized and unrealized PnL at all times.
• A visualization of the trades over time must be included alongside your calculation.

FAQ

What's the criteria to judge the submissions?

We won't analyze profitability, only whether your approach correctly applies delta hedging principles.

If the hedging logic is correct, and the calculation shows that, you qualify for the reward

Can I use any option for my calculation?

No. Only options that meet the criteria listed in the Rules section will be considered.

Can I use my own market data?

No, all data must be sourced from the Thalex API.

How should I present my result?

Your submission should include:

• A clear breakdown of your hedging approach.
• Realized and unrealized PnL over time.
• A visualization marking the points where trades occurred.

What if my calculation contains errors?

Minor mistakes won’t necessarily disqualify you, but your submission must correctly capture the core mechanics of delta hedging.

If significant errors are found, we may ask you to revise and resubmit.

Campaign Terms

Eligibility

This campaign is open to any retail trader, 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 Friday, April 18th 2025, 23:59 UTC.

Reward Cap

Each customer can only claim the reward once.

Discretion

Thalex reserves the right not to grant rewards in case of any non-compliance with the Terms & Conditions, illicit behavior, or unfair advantage at its own discretion.

Intellectual Property

As a condition of submission, you grant Thalex and its subsidiaries a perpetual, irrevocable, worldwide, royalty-free, and non-exclusive license to use, reproduce, adapt, modify, publish, distribute, publicly perform, create a derivative work from, and publicly display the Submission.

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.