Delta Neutral Hedging

This video walks through the process of delta neutral hedging with an example using Boston Beer data from January 2020. A delta neutral hedge is a short-term strategy designed to take advantage of short-term price swings where the impact of delta (option sensitivity to price change in the underlying stock) and gamma (delta's sensitivity to price changes in the underlying stock) create an opportunity to profit off of price increases AND decreases that exceed the time decay. The challenge is that if the price of the underlying stock doesn't move quickly, the loss from time decay will swamp any benefits from the impact of changing delta and the investor will lose money.