Hedging question

[Profitaker]

I'd just have to close out the futures and take the loss on the hedge if this happens.

Indeed, and then the underlying moves back to the strike ,so you put the hedge back on. Then the underlying moves away from the strike so...

I'd just have to close out the futures and take the loss on the hedge if this happens.

And so on, and so on. That's the nature of dynamic hedging. The final P&L of the trade is dependant on the path the underlying takes, rather than it's price at expiry. Dynamic hedging of short option positions with futures is best avoided in choppy markets, and close to option expiry.