Hi i need to Develop a delta neutral strategy for the period 03/08/2020 to 20/08/2020 to hedge against short term volatility as part of an assignment. I am currently Long 3400 stock with +1 delta each. Therefore my portfolios delta is 3400 with just the stock.

The PUT data provided in the assignment is pictured (2 weeks worth data)

I am very confused how i achieve a delta neutral portfolio however. This is my attempt so far: In excel i have calculated that i need to long 529 PUT contracts to achieve this, hence = 529*100*-0.0643 = -3400.941

This would make my overall portfolio delta -0.941 which is very close to zero. However, as you can see in the picture below the delta radically changes as the option gets closer to expiary and the delta moves furthur out of the money.

For an assignment only requiring one rebalance, how and when would i rebalance this portfolio and where have i made any mistakes?

STOCK PUT Date Premium Price Implied Vol. Option Delta 8/3/2020 0.0750 0.3108 -0.0643 8/4/2020 0.0200 0.3050 -0.0208 8/5/2020 0.0300 0.3053 -0.0309 8/6/2020 0.0300 0.3028 -0.0323 8/7/2020 0.0300 0.3070 -0.0331 8/10/2020 0.0080 0.3290 -0.0106 8/11/2020 0.0050 0.3102 -0.0077 8/12/2020 0.0050 0.3067 -0.0083 8/13/2020 0.0150 0.3067 -0.0083 8/14/2020 0.0050 0.3154 -0.0094 8/17/2020 NA 0.4046 -0.0013 8/18/2020 NA 0.4649 -0.0001 8/19/2020 NA 0.5250 0.0000 8/20/2020 Expiary Expiary Expiary Stock delta 8/3/2020 3400 8/4/2020 3400 8/5/2020 3400 8/6/2020 3400 8/7/2020 3400 8/10/2020 3400 8/11/2020 3400 8/12/2020 3400 8/13/2020 3400 8/14/2020 3400 8/17/2020 3400 8/18/2020 3400 8/19/2020 3400 8/20/2020 closed hedge -3400.941 -1098.204 -1634.61 -1708.141 -1749.403 -560.74 -408.917 -439.599 -439.599 -495.144 -67.712 74 Portfolio delta -0.941 2301.796 1765.39 1691.859 1650.597 2839.26 2991.083 2960.401 2960.401 2904.856 3332.288 3396.826 3400 expired 0 expired