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Delta neutral

• Occurs when the market risk exposure, in terms of price or interest rate level, for an underlying position is completely offset with derivatives. This is a point in time concept because options are decaying assets that may have to be rebalanced in order to maintain delta neutrality.

• The value of the portfolio is not affected by changes in the value of the asset on which the options are written.

 
 Embedded terms in definition
 Assets
Asset
Delta
Derivatives
Interest rate
Interest
Market risk
Market
Offset
Options
Order
Point
Portfolio
Position
Risk
Time
Underlying
 
 Related Terms
 Composite delta
Delta
Delta equivalency
Delta hedge
Delta hedge of an option
Delta of an option
Hedge ratio delta
Neutral period
Neutral spread
Risk neutral

<< Delta hedge of an option Delta of an option >>

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