Also found in: Wikipedia.
Describes value of a portfolio not affected by changes in the value of the asset on which the options are written.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved