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Attach a Delta Hedge Order

Attach a delta hedge order to an options order, and as an alternative to setting a hedge order attribute in the original Volatility order line.

To attach a Delta Hedge order

From the right-click menu, select Attach and then select Delta Hedge.
A new linked delta hedge order line displays. The link between the parent and child orders is illustrated in the Key field.
Select an order type for the hedging order (Limit, Market or Relative).

Please note that when you attach a delta hedge order to a Volatility order with Continuous Update or to a Relative/Pegged-to-Stock order, the system will use the delta associated with the parent order instead of using the current delta of the option based on market data at the time of trade. For Volatility orders, this delta is calculated from the user-defined Implied Volatility specified at the time of the most recent order modification or price update. For Relative/Pegged-to-Stock orders, this is the delta specified by the user.

For a Limit delta hedge order, a snapshot of the stock bid/ask price is taken at the time the parent order fills, and the best available price is used as the limit price (best ask for a buy and best bid for a sell).