First, a delta neutral position builds a net-zero position against a single underlying asset. You are not in a neutral position if you have a net-zero delta spread across several different underlying assets.
Second, the total delta of your position is calculated based on the number of assets you hold multiplied by the delta of that given position. Say a given options contract has a delta of 0.5. If you purchase 100 of these contracts, your total position will have a delta of 50 (100 x 0.5).
Let’s say you own 100 bags of coffee beans. Since this is a direct asset, each bag has a delta of 1. Your current position has a delta, therefore, of 100 x 1 = 100.
0 Comments