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Trying to figure out a simplified dynamic hedging strategy without getting into too much math. Based on Antifragile by NN Taleb, it appears an antifragile portfolio could be constructed with short calls (delta-neutral) and long puts. Anyone tried to do this? If so, any comments thoughts will be highly appreciated.

Thanks!

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I don't know a thing about Taleb's Antifragile portfolio structure(s) but I can offer this generalized option commentary per your title:

  • If you add a long put to a covered call and they are of the same series, it's an arbitrage called a conversion

  • If the strike price of the call and the put are different then it's a long stock collar which is synthetically equivalent to a vertical spread. The strikes are typically OTM but that's not a requirement.

I doubt that a long stock collar would qualify as dynamic hedging since the net delta is significantly positive because +100 delta stock exceeds the sum of the two negative OTM option positions.

It would be helpful if you defined what an antifragile portfolio is.

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