hedging-strategy
Build hedging strategies that match your portfolio's risk profile using beta hedging, protective options, collars, or tail-risk approaches. The skill walks you through hedge-ratio calculation, cost estimation, and execution planning across linear instruments like futures and nonlinear tools like puts and spreads.
Hedging Strategy helps you design systematic hedging plans using futures, options, or cross-asset approaches.
AI-generated summary based on this skill's SKILL.md
Install
HKUDS/Vibe-Trading/hedging-strategy · repository language: Python
git clone https://github.com/HKUDS/Vibe-Trading
cp -r Vibe-Trading/agent/src/skills/hedging-strategy ~/.claude/skills/hedging-strategynpx skillfed install HKUDS/Vibe-Trading/hedging-strategyFrequently asked questions
AI-generated answers based on this skill's SKILL.md and metadata
How does hedging-strategy help me hedge a stock portfolio with futures?
hedging-strategy guides you through designing systematic hedging plans using futures as linear instruments. You'll learn to calculate hedge ratios based on your portfolio's beta, determine optimal contract quantities for minimum-variance hedging, and execute beta hedging strategies tailored to assets like China A-shares or CSI 300 futures. The skill covers both the mechanics and cost evaluation so you can decide if futures hedging fits your risk profile.
What's the difference between protective puts and collar strategies in hedging-strategy?
hedging-strategy teaches both nonlinear hedging tools. Protective puts give you downside protection by buying put options, but they carry upfront cost. Collars combine a long put with a short call to create a zero-cost or low-cost hedge by capping both losses and gains. The skill helps you evaluate these cost-benefit tradeoffs and choose which approach matches your portfolio's risk scenario and budget constraints.
How do I calculate hedge ratios and determine optimal contract quantities?
hedging-strategy walks you through hedge-ratio calculation using minimum-variance approaches and EWMA-based dynamic rebalancing. You'll learn to size futures or options contracts based on your portfolio's beta, volatility, and correlation with the hedge instrument. The skill provides frameworks for both static and dynamic hedging, so you can adjust contract quantities as market conditions and your risk exposure evolve.
When should I use options versus futures for hedging according to hedging-strategy?
hedging-strategy compares linear instruments like futures against nonlinear tools like puts and spreads. Futures offer cost-efficient, proportional hedging for systematic risk; options provide tail-risk and black-swan protection with defined maximum loss but higher upfront cost. The skill includes scenario analysis templates and cost evaluation frameworks to help you select the right instrument mix for your specific risk profile and market outlook.
How does hedging-strategy address tail-risk and black-swan protection?
hedging-strategy covers far out-of-the-money puts, VIX call alternatives, and other tail-risk strategies designed to protect against extreme market moves. You'll learn to balance the cost of tail hedges against the probability and impact of black-swan events, and understand when tail protection is worth the premium. The skill includes frameworks for evaluating hedging costs and comparing protection strategies across different risk scenarios.
What cross-asset hedging strategies does hedging-strategy cover?
hedging-strategy teaches cross-asset hedging for stocks, bonds, commodities, and currencies. You'll learn to design systematic plans that use multiple instruments—such as stock-commodity hedges for inflation protection or FX forwards for currency depreciation—and understand how to hedge systematic versus idiosyncratic risk. The skill helps you build integrated hedge plans that address your portfolio's total risk exposure across asset classes.
SKILL.md
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Hedging Strategy Design
Overview
Design systematic hedging plans for existing positions, covering linear hedges (futures / ETFs) and nonlinear hedges (options). Output hedge ratios, cost estimates, and execution plans. Core principle: hedging does not eliminate risk; it exchanges unknown losses for known costs.
Core Concepts
1. Beta Hedging (Futures / ETFs)
Principle: hedge portfolio systematic risk (beta) with index futures or ETFs while preserving single-stock alpha.
Hedge ratio calculation:
```python
Minimum-variance hedge ratio
hedge_ratio = beta_portfolio * (portfolio_value / futures_value)
Example: hold a 10 million RMB China A-share portfolio, beta = 1.2
CSI 300 futures (IF) contract value = index level × 300
IF level = 4000, contract value = 4000 × 300 = 1.2 million
Required number of short contracts = 1.2 × (1000 / 120) = 10
Beta estimation method
import numpy as np
OLS regression: portfolio_returns = alpha + beta *
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agent/src/skills/hedging-strategy/SKILL.md