Source: This post originated from my journal entry on March 20, 2026.
I’ve been thinking about delta hedging lately. Everyone talks about staying delta neutral, but nobody tells you exactly when to hedge and when to leave it alone. That’s where delta bands come in.
Here’s the thing: you don’t need to hedge every small move. That’s just noise. You need a systematic way to know when your delta has drifted enough that it actually matters.
Your delta band should be directly proportional to the expected daily move of NIFTY 50. To get that expected move, take the India VIX value and divide it by 16. Or better yet, use the weekly options ATM IV divided by 16. That gives you the expected daily move as a percentage. Now multiply that by the gamma of your entire position. That’s your delta band.
The logic is simple. If NIFTY typically moves 1% in a day, and your position gamma creates a delta swing of 50 points for every 1% move, then your delta band is ±50. Stay within that band and you’re fine. Go beyond it, and you need to rebalance.
When your delta goes outside the band, don’t bring it all the way back to zero. Just bring it back to 50% of the band width. This prevents over-trading and keeps you from getting chopped up by small moves.
I mean, delta hedging isn’t about being perfect. It’s about not being stupid. Know your band, respect it, and don’t panic-hedge every tick.