The Greek term Delta is used to assess how much an option’s price changes when the underlying security’s price fluctuates.
This is a type of tool used to balance a portfolio that includes equal amounts of positive and negative deltas so that the position of delta is zero. A delta neutral portfolio can balance out the market movements for a specific range to bring the net change of the position to zero. This is part of the Greeks of options. As an example, Delta, Theta, Vega and Gamma, are four “Greek” terms used to measure types of risk that indicate how much exposure a given option has related to implied volatility and time-value decay along with the changes in the underlying price of the commodity.