Have you heard of Beta adjusted Delta? It gives you a measure of how much market risk your entire portfolio is exposed to. But from a trading/risk magement perspective, you usually need to delta hedge per asset.

<t>I have been told before that mapping vol surfaces between the cash option and futures options on the S&P is a non-trivial issue, other than the obvious adjustment to the strikes due to one being cash settled the other being future settled. I was told there was a skew effect that needs to be t...