Model and input conventions
Multiply the updated per-unit option delta by signed underlying units represented by the option position. Add the existing linear hedge quantity to find current combined delta. Required trade equals target combined delta minus that current exposure. A positive result means buying the underlying-equivalent hedge; a negative result means selling. Estimated cost uses the absolute trade quantity multiplied by execution price and the supplied percentage fee.
Worked numerical example
Ten long option units change from delta 0.40 to 0.60 while an existing hedge is short four underlying units. Previous combined delta was zero, but updated combined delta is +2. Selling two more units moves the hedge to −6 and restores a zero target. At an execution price of 100 with a 0.10% trading fee, the absolute notional is 200 and estimated fee is 0.20.
Read the scenario table
Scenario rows perturb the updated option delta while preserving position size and target. They show how the required trade and cost change if a Greek estimate moves slightly before execution. Use signed option quantity for shorts and avoid applying that sign twice to a quoted per-unit Greek. The displayed fee is separate from portfolio delta because paying a quote-currency fee does not directly change base-unit sensitivity.
Where the model stops
The hedge instrument is assumed to have delta exactly one per base unit. Inverse contracts, different underlyings and currency conversions require another exposure calculation. A zero current delta does not eliminate gamma, vega, jumps or time decay. Short hedges require appropriate access and collateral. The tool does not determine how frequently to rebalance or whether a proposed hedge is economically worthwhile after trading costs.