Delta neutral
A) is the volatility level for the stock that the option price implies.
B) is the continued updating of the hedge ratio as time passes.
C) is the percentage change in the stock call-option price divided by the percentage change in the stock price.
D) means the portfolio has no tendency to change value as the underlying portfolio value changes.

Question

Quizplus · Accepted Answer

Delta neutral refers to a strategy or position in options trading where the delta, which measures the sensitivity of an option's price to changes in the price of the underlying asset, is adjusted to be zero. This means the value of the portfolio should not change with small movements in the underlying asset's price.

Delta Neutral