A straddle has a near zero delta at the strike, and it gains on a large move either way

A straddle has a near zero delta at the strike, and it gains on a large move either wayPayoff of the position at expiry and before expiry. Breakevens at 22,606 and 23,894. Maximum profit in the range ₹49,439, maximum loss ₹41,841; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry10 days to expiry−₹50,000−₹25,000₹0₹25,000₹50,00022,00023,00024,000Nifty at expirySpot 23,215BE 22,606BE 23,894Max loss ₹41,841No cap
Profit and loss for one lot of the at the money call and put bought at their 10 Jun 2026 settle prices, at expiry and with 10 days left, for the 30 Jun 2026 chain. Delta is near zero at the strike, not at every level of the future. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Delta is the rupee exposure to a small move in the future. A long future has a delta of one per unit, and an at the money call has a delta of about a half. When the total is close to zero, the position makes no directional bet for the moment. That is what delta neutral means.

Delta hedging keeps the net delta near zero. If the index rises and the net delta turns positive, the hedge adds a short future, or a put, to bring it back. Each adjustment trades the underlying, and each trade carries a bid and ask spread and charges.

The chart shows a straddle at the 10 Jun 2026 at the money strike, with ten days left. Its payoff bottoms out at the strike, where the delta is near zero, and it rises on both sides. The position is delta neutral at the start, and it gains on a move either way that is larger than the premium paid. It takes no view on direction, and it pays a premium for that shape, which theta takes away each day.

Three things delta neutral does not remove. Gamma: the delta changes as the index moves, so the hedge has to be redone, and that is the gamma cost. Vega: a change in volatility moves the premium even when the delta is zero. Gap risk: a jump through the strike at the open leaves no time to adjust. Hedging shrinks the directional exposure, not the risk.

The Greeks calculator shows the delta of one option per lot on a dated chain, which is the number a hedge is sized from. It is arithmetic, not a recommendation.

Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study