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> If your future-option moves to become very-in-the-money and you are worried
> about slippage then you may as well just hedge your option with the future
> (I think) and wait for expiry.
Well, then we've gone in a big circle. The starting point of the
exercise was to hedge the futures trade with options. If you cover your
futures trade when the options are deep in the money, you're booking a
big loss on the futures trade and *hoping* the big profit on your
options position won't disappear before expiration.
--
Dennis
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