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In this paper, using high-frequency intra-daily data from the UK market, we employ genetic programming (GP) to uncover a hedging strategy for FTSE 100 call options, hedged using FTSE 100 futures contracts. The output from the evolved strategies is a rebalancing signal which is conditioned upon a range of dynamic non-linear factors related to market conditions including liquidity and volatility. When this signal exceeds threshold values during the trading day, the hedge position is rebalanced. The performance of the GP-evolved strategy is evaluated against a number of commonly used, time-based, deterministic hedging strategies where the hedge position is rebalanced at fixed time intervals ranging from 5 min to 1 day. Assuming the delta hedger pays the bid-ask spread on the futures contract whenever the portfolio is rebalanced, this study finds that the GP-evolved hedging strategy out-performs …