Asked by Janet Miller on Apr 29, 2024
Verified
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.
Delta Neutral
The value of the options portfolio is not affected by changes in the value of the underlying asset.
- Understand the concept of delta neutrality and its implications for portfolio management.
Verified Answer
AO
Allie O'LoughlinApr 30, 2024
Final Answer :
D
Explanation :
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.
Learning Objectives
- Understand the concept of delta neutrality and its implications for portfolio management.