Lenny D. answered • 05/29/19
Financial Professional with many years of Wall Street Experience
When an option is at the money it has a 50 delta. (loosely think of delta as the probability the option will expire in the money) It is defined as the sensitivity of the option price to a move in the price of th underlying asset. Soooo. If you owned 100 sharers of XYZ which is trading at 100 and you were short a call option on 200 shares of XYZ you would be "delta hedged. If the Share price fell to 98 you would lose $2 on 100 share. However, The option price would fall by about 1$ on 200 shares. It would be a wash..
I have been managing option portfolios for many many years. I know this stuff from a theoretical and applied sense
