Delta neutral price: where a whole options chain has zero delta
The delta neutral price is the underlying price at which the summed delta of every open contract on a ticker is zero. It is the green line on every ticker page and on the chart, and it is recomputed after every trading day.
Note the difference from the phrase “delta neutral strategy”, which means an individual trader holding a position with zero delta. Here the position is the entire open interest of the ticker, treated as one portfolio.
What the published level means
Delta neutral is a model-derived reference level for the options chain. The site publishes its value, date and relationship to the close. The implementation and numerical procedures are proprietary. See the methodology page for scope and limitations.
What it says
The level gives a reference for describing where the close sits relative to the model’s options-positioning output. It does not measure an actual dealer’s hedging book or establish a support or resistance level. Use the ticker page to inspect the historical relationship, including sessions where price crossed or moved away.
How to read it
- Above or below. Each page states whether the close is above or below delta neutral and by how much.
- Crosses. A close moving across the level is logged as an event and listed on the delta neutral crosses screen.
- Together with gamma max. Gamma max is where the chain’s gamma peaks; delta neutral is where its delta balances. A close between the two describes their current relationship; it does not establish a trading range.