Delta neutral

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Delta neutral describes an option or other derivative strategy that has low delta risk; it will not immediately profit or suffer from a change in the price of the underlying commodity.

In a delta neutral trading strategy, when the trader dynamically hedges his or her delta risk, he or she is left with exposure to volatility risk. Such a person is often referred to as a volatility trader.


Last modified on 22 February 2017, at 09:41