Macro event post-release hedge reset checklist

After the first spike, your hedge can be right in direction but wrong in timing.

Make the reset decision a hard timer, not a flexible preference.

Use:

If the timer is missed, the default action is to reduce complexity and remove stale overlays.

• `T+1 minute`: check spread and depth on current hedge legs
• `T+5 minute`: measure whether hedge ratio still matches original delta/vega objective
• `T+15 minute`: decide keep, reduce, or recompose hedges

Portfolio net can hide leg failures.

For each leg, capture:

Drop any leg where fill quality is below pre-release minimum or where implied risk contribution exceeds risk tolerance.

When legs are uneven, the portfolio may still look hedged while the real risk just moved to a hidden point.

• hedge quantity actually filled vs planned
• current gamma risk contribution under new IV
• time-decay sensitivity if you use short duration hedges
• assignment exposure after release re-pricing

Hedge drift usually comes from old layers that become expensive to keep.

Before entry:

During reset:

You are reducing fragility, not prediction confidence.

• label each layer as "time-sensitive" or "steady"
• define the stale threshold in spread and depth terms
• define which layers auto-quit when spread or IV regime shifts beyond threshold
• if a time-sensitive layer exceeds 2x expected slippage, close that layer first
• if steady layer is still effective, keep minimum required size
• if both layers drift, shift to clean-sheet neutral state

Do not use one hedge reset rule for all outcomes.

### Scenario A: directional confirmation continues

### Scenario B: first direction reverses

### Scenario C: no clear continuation

• keep base hedge only if depth supports incremental re-hedge
• cut optional hedges with high re-hedge cost
• set a tighter post-release hedge-loss cap
• reduce hedge not only on delta side but also on the leg most sensitive to spread inflation
• close legs with poor fill liquidity first
• re-run delta-neutral target only when execution confidence recovers
• assume temporary noise and preserve only low-cost stabilizer hedge
• avoid adding new hedge complexity within the first 15 minutes
• re-open only after spread and liquidity stability window

Many teams lose value because they forget to monitor the moment where hedge becomes too expensive.

Create an explicit "unhedged warning":

On warning, forced action sequence is:

1) remove optional layer, 2) cut time-sensitive layer, 3) flatten stale exposure, 4) reassess thesis only after flattening pass.

• warning if two of three legs breach execution budget
• warning if hedge loss has not recovered after T+5
• warning if spread inflation pushes re-hedge above fallback cap

Post-release resets are a routine that repeats each event.

After every macro release, log:

Use this ledger as a team template for the next event.

• which layers were reset
• which warning triggered first
• what action was taken at each timer
• what was not reset and why