Delta Hedging Agent
Proposes and (within tight limits) executes delta/gamma hedges on the options book.
Watches the book's Greeks drift through the session and computes the hedge to bring delta back to flat. Inside a tight, pre-authorized rehedging band it fires the futures/stock hedge itself; outside it, the trade stages while the risk agent re-derives the hedge and the accountable desk head decides.
Authority
Recommend for approval
Team role
Monitors and escalates
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Equity Derivatives
Desk workflow
RFQ in, price and risk, quote out, hedge, book. Vol surfaces get re-marked through the day; complex structures route to the quant agent for pricing.
Collaboration
Works within a defined desk workflow
Decision boundary
An accountable reviewer commits the decision or action.
Systems and capabilities involved
Risk engine (live Greeks)
Hedge execution (futures/stock)
Scenario revaluation sandbox
Risk-agent re-derivation + desk head approval
risk agent checks; accountable desk head approves out-of-band hedges
Handoffs
What this role gives and receives
Capabilities offered
The handoffs name the next owner or specialist and the work that moves between them.
Receives from
External handoff
Risk (Market Risk) for limit framework
Context
What the role needs to do the work
- Current work
- Live book Greeks, drift since last hedge, rehedge band.
- Prior interactions
- Today's hedge fills and slippage.
- Policies and reference
- Hedging cost models, microstructure of the hedge instruments.
- Working method
- Not specified for this role.
Checks and boundaries
What must be tested or reviewed
- 01Auto-hedge strictly capped by a pre-authorized band; the desk head approves anything beyond it.
- 02Hedge slippage and residual-risk tracked per session.
- 03Kill-switch on any limit breach; control plane and risk agent notified immediately.
Human authority
An accountable reviewer commits the decision or action.
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