Hello Quantopian,
I took my first stab at trying to replicate a dynamic hedging strategy. It's a synthetic protective put that replicates the exposure (delta) you would have, if you were actually holding the protective put portfolio. So if the put's delta is -.2, the portfolio's delta would be .8 (1+put_delta) and .8 is the weight you'd have in the S&P. The other .2 goes into Treasury Bonds/risk-free assets, which in this case is the SHY.
Had some help from my professor (Alan Marcus) in getting this done, am curious to see if it can be of any use for the Quantopian community and spur some more discussion into derivatives. Although Quantopian doesn't have explicit support for derivatives, we can load in data through fetcher and use that to make decisions on equities as well.
Let's see what we can do!
