Delta neutral

(redirected from Delta Neutral Spread)
Also found in: Wikipedia.

Delta neutral

Describes value of a portfolio not affected by changes in the value of the asset on which the options are written.

Delta Neutral

Describing a portfolio containing option contracts where changes in the price of the underlying assets do not change the value of the portfolio. One can construct a delta neutral portfolio, for example, by buying calls and puts on the same underlying asset where each has an equal but opposite delta with respect to the other. So when the price of the underlying asset changes, the two options change prices in opposite directions so that there is no net effect on the value of the portfolio.
Mentioned in ?
References in periodicals archive ?
CME began the first phase of its user-defined spreads initiative in July 2006 when the exchange launched electronic functionality for "covered," or delta neutral spreads involving CME Eurodollar futures and options.