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thanks hiphop

--I'm not Jim, but the formula in Cohen's book is that your hedge should be priced at %OTM + 0.75*%PREMIUM of the basket of stocks.

When I ran this yesterday for the 6 stocks from the ROE_CashLTDebt with the highest premium for a Jan. 2022 expiration, I get an aggregate OTM of 3.86% and premium of 12.33% (note that I weight the individual positions by the Cash required to back them up). Thus using the Cohen formula, the hedge put should be bought at 13.11% below current price of SPY.

Yesterday (when I ran the code), SPY was at 424.46, so 13.11% below that was 368.81, so the correct hedge put would be the Jan 2022 SPY 369 PUT (the number of contracts is set to cover the cash required pile).

Hope that helps. Maybe Jim will weigh in with some tweaks to the strategy for the hedges.

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