Greek-Neutral
Portfolio with zero targeted Greek exposure
What is Greek-Neutral?
Greek-Neutral A portfolio constructed to have zero or near-zero exposure to one or more Greeks. Delta-neutral positions eliminate directional risk; gamma-neutral eliminates convexity risk; vega-neutral eliminates volatility risk. Achieving neutrality in multiple Greeks simultaneously requires careful position balancing.
Complete Definition
A portfolio constructed to have zero or near-zero exposure to one or more Greeks. Delta-neutral positions eliminate directional risk; gamma-neutral eliminates convexity risk; vega-neutral eliminates volatility risk. Achieving neutrality in multiple Greeks simultaneously requires careful position balancing.
Example
A delta-neutral, vega-short portfolio profits from time decay while being insensitive to small price moves and short volatility.
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