I saw the following from someone. I didn't quite get the last sentence:Once stock price falls to 100% of exercise price, surrender value change does offer full protection/hedge against fall in stock price (even though delta is less than 100 at that point)Therefore, protection/hedge against market fall is required only for excess of market price over exercise price of the put.Therefore, the real/underlying hedge value is NOT equal to delta adjusted exposure but is rather the exercise price of puts (or stock price if market price is lower than Put's exercise price) Ways to think about "underlying hedge value" of Puts Hedge value of puts = Lesser of (a) Current Market Price & (b) Exercise Value of Puts If we are long Puts that are deep out of money, then either we buy more puts to take up the "hedge value" to desired level ORa) In theory, shorting full number of shares at current price & buying calls at the put's exercise price would cover the risk of fall in market price from current levels (if above exercise price) upto put's exercise price. b) Current Puts would give protection against market price fall below exercise price. If we use delta adjusted exposure as the hedge value of Puts, we could be very over-hedged.