Delta strategii neutre pe opțiuni

Delta is clearly a function of S, however Delta is also a function of strike price and time to expiry. Since delta measures the exposure of a derivative to changes in the value of the underlying, a portfolio that is delta neutral is effectively hedged. That is, its overall value will not change for small changes in the price of its underlying instrument.

Creating the position[ edit ] Delta hedging - i. By adjusting the amount bought or sold on new positions, the portfolio delta can be made to sum to zero, and the portfolio is then delta neutral.

See Rational pricing delta hedging. Options market makersor others, may form a delta neutral portfolio using related options instead of the underlying.

The portfolio's delta assuming the same underlier is then the sum of all the individual options' deltas. This method can also be used when the underlier is difficult to trade, for instance when an underlying stock is hard to borrow and therefore cannot be delta strategii neutre pe opțiuni short. Theory[ edit ] The existence of a delta neutral portfolio was shown as part of the original proof of the Black—Scholes modelthe first comprehensive model to produce correct prices for some classes of options.

See Black-Scholes: Derivation. From the Taylor expansion of the value of an option, we get the change in the value of an option, C.