This is a list of delta neutral option strategies:
- Bear Call Ladder (also Short Call Ladder)
- Bear Put Ladder (also Long Put Ladder)
- Bull Call Ladder (also Long Call Ladder)
- Bull Put Ladder (also Short Put Ladder)
- Call Ratio Backspread
- Call Ratio Spread (also Ratio Call Spread, Bull Ratio Spread)
- Double Calendar Spread
- Double Diagonal Spread
- Iron Butterfly
- Iron Condor
- Long Box Spread (also Box Spread)
- Long Calendar Call Spread (also Calendar Call Spread)
- Long Calendar Put Spread (also Calendar Put Spread)
- Long Call Butterfly
- Long Call Condor
- Long Call Synthetic Straddle (also Synthetic Straddle)
- Long Call Synthetic Strangle (also Synthetic Strangle)
- Long Diagonal Call Spread (also Diagonal Call Spread)
- Long Diagonal Put Spread (also Diagonal Put Spread)
- Long Guts (also Guts)
- Long Put Butterfly
- Long Put Condor
- Long Put Synthetic Straddle
- Long Put Synthetic Strangle
- Long Straddle (also Straddle)
- Long Strangle (also Strangle)
- Put Ratio Backspread
- Put Ratio Spread (also Ratio Put Spread, Bear Ratio Spread)
- Reverse Iron Butterfly
- Reverse Iron Condor
- Short Box Spread
- Short Calendar Call Spread
- Short Calendar Put Spread
- Short Call Butterfly
- Short Call Condor
- Short Call Synthetic Straddle
- Short Call Synthetic Strangle
- Short Diagonal Call Spread
- Short Diagonal Put Spread
- Short Guts
- Short Put Butterfly
- Short Put Condor
- Short Put Synthetic Straddle
- Short Put Synthetic Strangle
- Short Straddle
- Short Strangle
Delta neutral means that total delta of the combined position is approximately zero.
Delta is one of option Greeks and measures how the value of an option (or combination of options) changes when underlying price moves. Positive delta means the option strategy profits when underlying price rises (and loses when underlying price falls), while negative delta means the opposite.
Delta neutrality means that the position's value will not change much as underlying price moves, but it may change with other factors, such as volatility or passing time. Furthermore, delta itself can change as different factors change. As a result, even a position which has been set up as delta neutral can become more sensitive to underlying price later.