I am trying to calculate a delta neutral position. Most of the time it seems the size of these positions are based on the number of shares someone is trying to hedge and the cost is whatever it ends up being to create the hedge. I am trying to calculate it for a trade the other way around, assuming I want to buy $5k worth of calls and puts based on the delta and price of each, how many of each side I need to purchase to stay delta neutral and as close to $5k as possible. Assuming I was buying a $5k combination of the following: Call Option Price - $.59 each Delta - .0759 Put Option Price - $.60 each Delta - .0544 =5000*0.0759/(0.0759+0.0544) which equals $2,912.51 and =5000*0.0544/(0.0759+0.0544) which equals $2,087.49 I end up with a Call Delta of 265.65 & Put Delta of 261.12 ... 4.53 Difference ...tolerable for my purposes. My thought process was that if I could determine the relative difference between the 2 delta's I could determine how much of the $5k needed to be allocated to each side. The above calculation achieved just that, but I am missing something it seems. When I put in a second set of values like below things didn't balance as effectively. 2nd Set of Values Call Option Price - $.82 each Delta - .1265 Put Option Price - $.50 each Delta - .0587 =5000*0.1265/(0.1265+0.0587) which equals $3,415.22 and =5000*0.0587/(0.1265+0.0587) which equals $1,584.77 I end up with a Call Delta of 240.35 & Put Delta of 399.16 ... -158.81 difference ... Not so good Any ideas where I messed this one up ?