New functionality from Goldman Sachs Electronic Trading (GSET) enables clients to automatically hedge the underlying equity for all US options algorithmic strategies.
GSET's Delta Hedging automatically hedges US-listed options smart order types based on the delta at the time the parent order is entered. ”Delta' is defined as the ratio of the change in the price of an option to the change in price of the underlying asset. The Delta Hedging mechanism uses GSET's equity smart order router and its crossing network, SIGMA X, to assist in sourcing liquidity when hedging.
“This new functionality enhances our entire suite of options algorithms which affords our clients the ability to automate the processes involved in delta hedging while simultaneously ensuring real-time hedging against their options orders,” said Vishal Gupta, head of US-listed options business development, GSET.
Goldman Sachs recently made a series of enhancements to its smart routing logic and suite of algorithms, including the retooling of its implementation shortfall algo, in April 2011.