From everything-claude-trading
Design hedging strategies for portfolio risk or single-name exposure
npx claudepluginhub brainbytes-dev/everything-claude-trading# /hedging-plan ## What This Command Does Designs a comprehensive hedging strategy to reduce specific portfolio risks, covering instrument selection (options, futures, swaps), hedge ratio calculation, cost analysis, and ongoing management rules. The derivatives-analyst and risk-manager agents collaborate on optimal hedge construction. ## When to Use - You want to hedge market, sector, or factor exposure in your portfolio - You need to protect against a specific tail risk event - You want to compare hedging approaches (options vs futures vs swaps) - You need to hedge currency, interest r...
Designs a comprehensive hedging strategy to reduce specific portfolio risks, covering instrument selection (options, futures, swaps), hedge ratio calculation, cost analysis, and ongoing management rules. The derivatives-analyst and risk-manager agents collaborate on optimal hedge construction.
Input:
/hedging-plan hedge $20M US equity portfolio against
a 15%+ drawdown over the next 6 months
Output:
## Hedging Plan — Tail Risk Protection
### Risk Profile
- Portfolio: $20M US large-cap equities (beta: 1.05 to SPY)
- Risk: Drawdown exceeding 15% over 6 months
- Historical probability: ~8% in any 6-month period
- Current VIX: 14.8 (cheap protection environment)
### Hedging Alternatives Compared
| Strategy | Cost (ann) | Max Loss | Upside Cap | Complexity |
|------------------------|-----------|----------|------------|------------|
| 1. Put spread | 1.2% | -15% | None | Low |
| 2. Put spread collar | 0.3% | -15% | +12% | Medium |
| 3. VIX call spread | 0.8% | ~-18% | None | Medium |
| 4. Managed futures | 0.5% | Variable | None | High |
| 5. Dynamic delta hedge | 0.6% | -12% | Reduced | High |
### Recommended: Put Spread (Strategy 1)
Best balance of protection, cost, and simplicity.
#### Structure
- Buy 10x SPY Sep 2026 $375 Puts (90% strike) @ $8.40
- Sell 10x SPY Sep 2026 $340 Puts (82% strike) @ $3.20
- Net debit: $5.20 per spread ($52,000 total)
- Cost as % of portfolio: 0.26% (0.52% annualized)
#### Hedge Ratio
- Portfolio beta to SPY: 1.05
- Notional per SPY put: $41,500
- Contracts needed: 10 spreads (covering ~$415K each)
- Effective coverage: $4.15M of downside (scaled to beta)
#### Payoff Scenarios
| SPY Move | Portfolio (Unhedged) | Hedge P&L | Net Result |
|-----------|---------------------|------------|-------------|
| +15% | +$3.15M | -$52K | +$3.10M |
| +5% | +$1.05M | -$52K | +$998K |
| Flat | $0 | -$52K | -$52K |
| -10% | -$2.10M | +$48K | -$2.05M |
| -15% | -$3.15M | +$298K | -$2.85M |
| -20% | -$4.20M | +$298K | -$3.90M |
| -30% | -$6.30M | +$298K | -$6.00M |
#### Management Rules
- Roll 30 days before expiration if protection still needed
- Remove hedge if VIX spikes above 35 (sell puts into fear)
- Rebalance hedge ratio quarterly as portfolio beta drifts
- Consider upgrading to full puts if VIX drops below 12
### Alternative: Put Spread Collar (Strategy 2)
If you want near-zero-cost protection and can accept capped upside:
- Same put spread as above
- Sell 10x SPY Sep 2026 $465 Calls (112% strike) @ $4.80
- Net cost: $0.40 per contract ($4,000 total, near zero-cost)
- Trade-off: upside capped at +12%