Delta Neutral


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Delta Neutral

A strategy consisting of holding puts and calls where the sum of the deltas is zero. For example, if a portfolio has 10 calls on a stock with a delta of .6, and 15 puts on the same stock with a delta of -.4, then the call delta (.6 x 10) offsets the put delta (-.4 x 15). A delta neutral portfolio incurs little or no loss regardless of the direction of stock movement.

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