How do you hedge an intraday (open to close) strategy?

I'm working on an equity strategy that sometimes takes large daily losses, and these losses tend to occur when the broad market moves against my individual bets.

I'm trying to find a product that will let me hedge against these movements. Research only at this point.

Basically what I want is the option to long the SPI 200 between the time the ASX opens and closes during a single day.

I don't yet understand how options work. I was thinking that I could buy a call option for the closest SPI 200 quarterly contract, with a strike at say current price plus a few percent, that expires within 24 hours. I thought this would be cheap if the strike is a reasonable way above the current price and it's close to expiry. When the equity market closes, I could either exercise the option if it is in the money it or just do nothing and let it expire.

I gather though that options, like futures, are contracts that all expire e.g. once a month/quarter, so you can't conveniently find contracts that expire at the end of each day. Does this mean that you need to sell the option to get rid of it?

If someone could give me a clue to get going with this that would be great.