Thank you daveangel.I think that this can be cured by pricing with carrying cost theoretically. However, it seems that there is still an accounting issue. Say, we have sold a call option expiring on Sep and hedging it with June future. Suppose we hedged the option perfectly until May. On someday of May, we want to switch from June future (today the price is F1, last day is F1_) to Dec future (price F2).Before switching from June future:Option price: C(F1)Money account: option premium + hedging PnLFuture account: F1*delta1Up to now C(F1) = option premium + hedging PnLAfter switching to Dec future :Option price: C(F2)Money account: option premium + hedging PnL + (F1-F1_)*delta1Future account: F2*delta2If F2 is usually higher than F1, C(F2) will be higher than C(F1). It is possible that C(F2) > option premium + hedging PnL + (F1-F1_)*delta1. So after switching, the hedging profit and option price can no longer match to each other. This will become a problem when report to risk manager.As I know, some traders cure this by catching the opportunity when F1 and F2 gets close. But what if F1 and F2 cannot be close enough?