Beta Hedge

V-A · VIII · XVI

Determine the number of index futures lots needed to hedge a portfolio using beta.

Number of index futures lots to short to hedge a portfolio's market risk.

Portfolio value (₹)

Portfolio beta

Index level

Lot size

Related reference

Black-Scholes pricing, option Greeks (Delta, Gamma, Theta, Vega, Rho), put-call parity, and futures margin.