TLDR:This article delves into the mathematical intricacies of the Delta Neutral Vault provided by Orange Finance. Contrary to what the name might suggest, the Delta Neutral Vault does not maintain an entirely delta-neutral position. Instead, it employs dynamic delta hedging in response to delta changes, striving to achieve an approximate delta-neutral position. Consequently, our vaults are designed to generate consistent profits while mitigating the risks associated with price fluctuations of...