FA-61769 / Options payoff and settlement / Member archive

Delta hedge order sized in lots: the hedge buys the exposure instead of offsetting it · case 04

Hedging doubles the delta instead of neutralizing it.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs positions [kind, signed contracts, absolute delta], multiplier, lot size and existing shares. Put delta is negative. Exposure = sum(sign*delta*contracts*multiplier); target shares = -exposure; the order is target - existing, rounded to whole lots with halves away from zero. Return the signed share quantity.

Why this case matters

Option expiry, exercise and settlement engines move cash and shares; a wrong branch misstates obligations.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression hedge direction 1	`-425`	`275`	Failed

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