What is the principal concern when implementing a delta hedge?

Maintaining an accurate hedge as delta changes is the principal concern when implementing a delta hedge. Delta, which measures the sensitivity of an option's price to changes in the price of the underlying asset, is not static and can vary as the underlying asset's price changes. This can lead to the need for frequent adjustments to the hedge to maintain its effectiveness. If delta changes and the hedge is not adjusted accordingly, it may no longer provide adequate protection against the movements of the underlying asset, potentially exposing the hedger to greater risk.

Other considerations, such as high commissions from overtrading or estimating the exact price of the underlying, may impact the practicality of hedging strategies, but they do not directly influence the core purpose of maintaining a delta hedge. Volatility of the underlying asset is also relevant, as it can affect option pricing and delta itself, but the fundamental challenge remains the need to continuously adjust the hedge to account for changing delta. Thus, the primary focus in a delta hedging strategy is ensuring that the hedge remains accurate as delta fluctuates.