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Hedg3 AI Inc publishes general market content. Not personalized investment advice. All trading involves risk. Real-time options quotes are provided via OPRA under subscriber agreement; non-subscribers see delayed data. See Terms for full disclosures.

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Beta-Adjusted Hedge Sizer

$

Against the index used for the hedge, not against the market in general.

Zero is a full hedge. Above the current beta gives a negative count, which is a long position.

In index points, typed. Nothing here reads a quote.

Dollars per index point. It is not one number across contracts.

Contracts to sell
5Rounded to the nearest whole contract from 4.600
Exposure to hedge
$1,150,000
Hedged notional
$1,250,000
Notional per contract
$250,000
Residual exposure
-$100,000
Beta after the hedge
-0.1000
Gap to target beta
-0.1000
$0$1,150,000 to hedge

Rounding is what leaves a residual: a whole contract cannot be split, so the beta after the hedge lands -0.1000 from the target. A negative residual means the position is over-hedged.

Hypothetical illustration, computed only from the figures entered. The multiplier is a contract specification and differs across contracts, so it is typed rather than assumed.

Beta is estimated from a past window and is not stable; a hedge sized on it is only as good as that estimate. Does not account for basis risk between the portfolio and the index, margin, roll cost, commissions, dividends on the index, or the fact that a futures or options hedge carries its own profit and loss. It sizes a hedge and does not evaluate one.

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What this does

A portfolio with a beta above 1 moves more than the index it is measured against, so hedging it needs more index exposure than its dollar value. Multiplying the value by the beta gives the index-equivalent exposure, and dividing that by what one contract controls gives the contract count.

Worked example

A $1,000,000 portfolio with a beta of 1.15 carries $1,150,000 of index-equivalent exposure. Against an index at 5,000 points, an E-mini contract at $50 a point controls $250,000, so a full hedge takes 4.6 contracts. Only whole contracts trade, so 5 sold leaves the position slightly over-hedged at a beta of -0.10.

Mistake it prevents

Sizing on the dollar value and ignoring the beta. At a beta of 1.15 that under-hedges by 15% of the portfolio, and the shortfall only shows up in the move being hedged against.