For example, the delta of a call option is 0.4, which means that every time the futures price changes 1 yuan, the option price changes by 0.4 yuan. De lta is additive, if investors hold the following portfolios: Table 2 delta value of portfolios: Delta positions (sheets) Buy wheat futures 1 1 Buy call options 0.47 2 Buy put options -0.53 3 What is the overall risk status of positions? Delta values of all parts can be added up: 1+2×0.47-3×0.53=0.35.

It can be seen that the Delta value of the trader's overall position is 0.35, which means that this is a partial position, which is equivalent to a futures long position of 0.35.

Delta neutral hedging (Delta hedging)

If investors want to hedge the risk of options or future positions, Delta is the hedging ratio. As long as the total Delta value of the position remains at 0, a neutral hedging strategy is established. For example, an investor holds 10 put options, each with a Delta of -0.2 and a position Delta of -2. Investors can take any of the following transactions, which can achieve the neutrality of the position Delta and avoid the risk of long positions of 10 put options.