The Bottom Line The delta of an asset is not a fixed calculation, and volatility is a best-information measurement. Investors base it on a number of factors, including the price of a derivative’s underlying asset. Over time the factors that go into a volatility calculation can change, and if they do the delta of a given derivative can change with it. This is particularly likely if the price of an underlying asset swings significantly. In those cases it’s not unusual for a derivative’s volatility metric to suddenly — and even substantially — change.
As a result, delta neutral positions are not fire-and-forget investments. If you want to build one, you need to monitor it over time and be prepared to make changes as necessary.
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