What Is a “Delta-Neutral” Strategy and What Is Its Primary Goal?

A Delta-neutral strategy involves structuring a portfolio of options and/or the underlying asset such that the net Delta of the entire position is zero. The primary goal is to profit from changes in implied volatility (Vega) or time decay (Theta), rather than from the direction of the underlying asset's price movement.

By neutralizing Delta, the portfolio is theoretically protected from small, immediate directional moves in the underlying asset's price.