delta neutral

delta neutral
Describes value of a portfolio not affected by changes in the value of the asset on which the options are written. Bloomberg Financial Dictionary
The term used to describe the situation where the net delta of a portfolio of options and futures is zero. Also known as delta hedged. Such a position means that there is no exposure to directional movements in the underlying. Note however, that this does not mean that there is no risk attached to such a position. Option deltas change for a variety of reasons, and so the portfolio must be constantly readjusted in order to maintain a delta neutral position. Dresdner Kleinwort Wasserstein financial glossary

Financial and business terms. 2012.

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  • Delta neutral — In finance, delta neutral describes a portfolio of related financial securities, in which the portfolio value remains unchanged due to small changes in the value of the underlying security. Such a portfolio typically contains options and their… …   Wikipedia

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  • Delta Neutral — A portfolio consisting of positions with offsetting positive and negative deltas. The deltas balance out to bring the net change of the position to zero. As a result, you neutralize the response to market movements for a certain range …   Investment dictionary

  • Delta neutral — The value of the portfolio is not affected by changes in the value of the asset on which the options are written. The New York Times Financial Glossary …   Financial and business terms

  • Delta Spread — An options trading strategy where the trader initially establishes a delta neutral position. The trader creates this delta neutral position by simultaneously buying and selling options in proportion to the neutral ratio. Using a delta spread, a… …   Investment dictionary

  • Delta-Hedging — Mit Delta Hedging bezeichnet man eine Absicherungsstragie, mit der man eine Optionsposition gegen Preisänderungen des Basiswertes absichert. Hierzu baut man eine Position im Basiswert auf, deren Wertänderungen bei Preisbewegung den Wertänderungen …   Deutsch Wikipedia

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