- About
- Introduction
- How to read graphs
- Call Option
- Put Option
- Volatility
- Intrinsic Value
- Extrinsic Value
- Greeks
- Delta
- Delta neutral
- Gamma
- Vega
- Theta
- Charm
- European vs American
- Binary Option
- Naked Put
- Naked Call
- Covered Put
- Covered Call
- Option Strategies
- Collar
- Horizontal Spreads
- Vertical Spreads
- Bull Call Spread
- Bear Call Spread
- Bull Calendar Spread
- Bull Put Spread
- Bear Calendar Spread
- Diagonal Call Spread
- Diagonal Put Spread
- Long Straddle
- Short Straddle
- Long Strangle
- Short Strangle
- Long Butterfly
- Short Butterfly
- Long Condor
- Long Iron Condor
- Double Diagonal
- Synthetic spot
- Reversal
- Box
- Ratio Put Spread
- Ratio Call Spread
- Jade Lizard
- Binomial model precision
- Volatility Skew
- Variance Swap
When the delta of your portfolio is close to zero you are delta neutral. Delta neutral portfolios are not affected by small price movements, but can be affected by changes in market volatility. Most non-directional option strategies are by definition delta neutral, otherwise they would gain or lose money when the base contract price goes up or down and wouldn't be non-directional.
For this study the graph shows a straddle, the portfolio is delta neutral at the lowest point of the value graph, or where the delta graph is zero.
Want to learn more? Download now an interactive reference application for iPhone.
The screenshot shows the following portfolio:
Volume | Instrument |
|---|---|
1 | European call struck at 11.000 with expiry in 30 days |
1 | European put struck at 11.000 with expiry in 30 days |
This is an excerpt from iOptioneer option trading reference application. In order to build the real-time dynamic strategy graph and run simulations you will need to download the application from App Store.