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so Im gonna walk through exactly what happens here with a dynamic Delta hedge using John Halls example and the situation is that you can imagine youre the market maker and you are writing or selling 100,000 call options lets say to me and that means you are exposed to price risk specifically if the stock price increases youre going to incur a loss on these call options that youve written to me so you hedge that risk out by purchasing shares the only difference is that youre going to rebalance every week thats the Dyne meaning of dynamic as the option Delta changes youre going to rebalance your portfolio to maintain Delta neutrality or neutralised exposure with respect to Delta so I have here a replication of John hulls table 19.2 in this sheet the next sheet in the workbook is his table 19.3 so thats with my calculations and my values do match what he displays and so you can see exactly how this dynamic Delta hedge operates and the situation we have here is you can imagine yo
