I am sorry for trivial question, but I have problem…. I seek information about.... "time delta risk"....What is this and where this to appear ? I know only, that the "time delta risk" functions exclusively in the market of the options on futures. This has something in common with calendar spreads. “More or less” I understand the mechanics of delta hedging, but I still didn't twig the mechanics of the "time delta risk". “Time delta risk” versus Theta? I come to a standstill . Supposedly this is described in Allen Baird’s book “ Option market making”…..but I not have access to this book.... Please a little of information about time delta....( forgive me bad English language )Yan

Perhaps someone knows the answer, but I suspect you are confusing time spread risk and delta drift. In theory a perfect delta hedge replicates an option, but there are numerous problems in practice. Time spread risk is unique to options on futures. Typically (but not always) the option expires the month before the future delivery month, but settles in the futures contract. Delta drift is an issue with any kind of option.Unless someone is familiar with time delta risk, perhaps you could tell us what you want to do or know.

Correct. Baird was referring to the futures basis-risk. A corresponding time spread taken in the underlying futures contract is an effective hedge. The trader buying a Sep//Oct 100 call time spread would attempt to negate the futures risk by selling the Sep//Oct futures time spread.Best,arb.

Thank you very much for the essential hints.Janek