DEFINITION of 'Delta Neutral'
A portfolio consisting of positions with offsetting positive and negative deltas so that the position of delta is zero. A delta neutral portfolio balances out the response to market movements for a certain range to bring the net change of the position to zero. Delta measures how much an option's price changes when the underlying security's price changes.
INVESTOPEDIA EXPLAINS 'Delta Neutral'
As the value of the underlying assets changes, the position of the Greeks will shift between being positive, negative and neutral. Investors who want to maintain delta neutrality must adjust his or her holdings accordingly. Puts always have a negative delta (ranging from 100 to zero), while long calls always have a positive delta (ranging from zero to 100), so the two can be used together to create a delta neutral position. Options traders can use a neutral position delta strategy to make money when implied volatility declines.

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