A ratio spread that is established as a neutral position by utilizing the deltas of the options involved. The neutral ratio is determined by dividing the delta of the purchased option by the delta of the written option. See also Ratio Spread and Delta.
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A situation in which the difference in price of two or more related options is zero. An investor holding these options will find that a small change in the price of the underlying asset will not affect the price of his/her options, but a large movement in any direction will result in a large profit. A delta spread is a hedging strategy designed to minimize risk while maximizing return. The most common type of delta spread is a calendar spread. See also: Call ratio backspread.
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