Delta neutral


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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.
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Members of the trueEX management team also launched T-Zero (now ICE Link) and led the initiative to create Credit Event Fixings and Delta Neutral Auctions (DNA).
There are some investment strategies that are delta neutral and often make money while the market remains stable.
Hirani and members of the trueEX management team also launched T-Zero (now ICE Link) and led the initiative to create Credit Event Fixings and Delta Neutral Auctions (DNA).
A delta neutral strategy calls for taking a delta equivalent position in the underlying security.
Hirani also created Delta Neutral Auctions, Credit Event Fixings, and T-Zero Inc.
Case Study: Delta Neutral Option Strategies (Paul Sutin) Appendix: Option on US Treasury Bond Future: Summary of Contract
Members of trueEX's management team also launched T-Zero (now ICE Link) and led the initiative to create Credit Event Fixings and Delta Neutral Auctions (DNA).
The new functionality includes volatility trading with automated delta adjusted limit price updates, delta neutral trading with an automated cash hedge calculation and execution, and conditional orders based on price stops and liquidity thresholds.
Orc Software (STO:ORC), the leading global provider of technology for advanced derivatives trading and connectivity solutions, today announced that the New Zealand-based regional proprietary trading firm Delta Neutral International is using Orc's Algorithmic Trading solution to enhance its advanced trading capabilities.
RCN Metro Optical Networks, a division of RCN Corporation (NASDAQ: RCNI) and a premier provider of fiber optic-based network solutions, announced today that Ballista Securities, operator of the new Ballista ATS for block options and delta neutral orders, will be using RCN Metro's Ethernet network to connect to the major trading floors in New York and Chicago.
NEW YORK -- Ballista Securities, operator of the new Ballista ATS for block options and delta neutral orders, announced today that live trading on its platform began on October 27, 2008.
First Electronic Liquidity Pool for Block Options and Delta Neutral Trading to Go Live Next Month