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.
See also gamma, greeks.
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The screenshot shows the following portfolio:
European call struck at 11.000 with expiry in 30 days
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.