Delta / Net Delta / Delta Neutral Keywords: Different Examples Explained

[Nelson]

In this thread we will discuss all examples of using Delta related keywords:

1. Delta
2. Delta Neutral
3. Net Delta.

Key Points:

1. Net Delta Checks collective Delta of open positions of the selected underlying in the strategy.
2. Note that Delta is between 0 to 1 for Calls (Calls have positive Delta)
3. Note that Delta is between 0 to -1 for Puts. (Puts have negative Delta)
4. ‘Delta Neutral’ Keyword can only be used in Qty Fx.
5. Delta Neutral:
   For Underlying: Quantity of selected instrument required to make net delta of all positions in strategy of selected underlying to zero.Returns quantity in multiple of lot size of Instrument as float
   For Instrument Name: Eg. Delta Neutral(‘NIFTY 50’,‘OPTIDX_NIFTY_26DEC2019_CE_12000’) : Returns quantity of ‘OPTIDX_NIFTY_26DEC2019_CE_12000’ required to make positions of NIFTY Delta Neutral

[Nelson]

Example:

Lets Create a Strategy with Below conditions:

1. Set no.1: Entry, with Simple Time Condition:

Set 1 Position Builder as follows:

Leg 1: 10 lots of Call Option ATM Buy of Nifty 50:

Leg 2: 10 lots of Put Option ATM Buy of Nifty 50:

[Nelson]

Set 1 Repair Continuous Condition 1:

Here, if you want the Net Delta of Nifty 50 is less than 4 lots (So, 4 x 50 lot size = 200 Number)
So basically, when the Net Delta of position is negative by 4 lots, that is -200 qty, then we want to Repair it continuously to make it delta neutral:

which will look like below under Repair continuous:

So based on the above condition we will take following positions:

Position Builder: Leg 1:

Note: Above we use following Qty fx: for taking accurate quantity to make Delta Neutral:
Note: Future has 1 Delta.

So whatever is the Net Delta, the following formula will divide it, and will get you the quantity in multiple of Lot Size.
So if Net Delta of the position is off by 610 points, then it will take 12 lots ( Here 610/50 i.e the lot size = 12 lots)

Also, you can choose Options to make Positions Delta Neutral with ATM Call or Put Options as follows in Qty Fx:

[Nelson]

Set 1 Repair Continuous Condition 2:

Now on the reverse side, when Net Delta of the strategy goes above 200,

which will look like below:

In this case we have to short certain quantity of the the Futures to make strategy Delta Neutral:
So the Position Builder will look like below:

And the “Qty Fx” in the above position builder will be as follows, to adjust the delta by taking position in Futures.

[Nelson]

Video Link of the above strategy example:

Create Delta Neutral - Gamma Scalping Strategy

[Nelson]

Delta neutral strategy on Tradetron:

Delta neutral strategy on Tradetron

[Nelson]

To Select Strike in “Strike Fx” based on Delta of an Optioni:

1. For finding strike closest and lesser than 45 Delta on the Call Side, use the following formula. Here the number needs to be in decimal 0.45 to select strike of 45 Delta for call. This is for current week expiry:

Important Note: A ‘range’ cannot be selected in below find strike formula or even otherwise, only lesser, greater or any can be selected.

2. Note that Put Side Delta is negative, hence use -0.45 as shown below:

3. Below formula will select 1 strike below the selected Delta formula in Strike formula:

[Nelson]

Question:
I have two lots sold of put and call . if i want to set that if total price goes more that 1.5 times of total . and market up so and i want to buy future as delta hedge… how to use net delta keyword in this condition

Solution:
Lets say you have taken 2 calls with lot size 50 .
delta of call is 0.4
net delta = 0.4 * 2 (quantity) * 50( lotsize) = 40
condition will be

Net delta(NIFTY 50) > Number (60)

[Nelson]

Question:
Pls help, I am trying to find strike from Delta it’s found some what difference pls help:

Solution:
Here,
17/225 = 0.075 (Note: 225 is the quantity traded)
Since it is a short position the value is in negative.

[Nelson]

Question:
Why do we see Delta Higher and Lesser than 1/-1 for active trades in Deployed Page as shown in the image below?

Solution:
That is Delta multiplied by quantity. Delta * 25 in this case.

[Nelson]

For Net Delta:

[Nelson]

Question:
In one of my strategy i want to use the Delta of Traded instrument +2 Strike.

Solution:

[Nelson]

Net Delta Calculation:

If I sell 0.4 delta call in bn and sell 0.3 put in Bank Nifty option
net delta calculation:
25(-0.4)+25(0.3)

[Nelson]

Question:
Which keyword should I use to know the current delta value of a particular Put option?

Solution:

[Nelson]

Question:

Solution:
You have to divide the option delta with the quantity to get the correct number.
For example the lot size for Nifty is 75, hence 36/75 = 0.48
and -39/75 = 0.52

[Nelson]

Question:

Solution:
37200 CE Delta is 0.26 since you shorted it will become -0.26
36300 PE Delta is -0.33 since you shorted it will become 0.33
Net Delta will become 0.33-0.26 = 0.07
Now this has to be multiplied by QTY
0.07 * 25 = 1.75
You need to think like this and put net delta value as per multiplier also.

[Nelson]

Question:
" if one pair net delta is -23 and it has 5 pairs, the net delta should be -23 x 5. However strategy ID 3696829 shows it as -25. I would like to get some clarity here.
Delta: -25 | Gamma: -0.09 | Theta: 5400 | Vega: -4705 "

Solution:
Its is -56+31 = -25

[SM488020]

i want to use delta keyword in my repair once condition what values i should take for comparison. delta value of that perticular instrument or total delta of traded quantity
example if delta value for BankNifty 42000 CE is 0.25 and i sell 2 lot which value i should use for comparison. is it 1) 0.25 2) -0.25 3) 0.2550 4) -0.2550