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We also recommend placing a hard stop for the spread based on the theoretical value of the option spread at that price, depending on the risk tolerance of the investor. Avoid a volatility trap. This risk control is a pre-trade risk management technique. Before considering a neutral delta strategy ahead of a market event, news, or report, take the time to investigate the history of implied volatility on the underlying and the options prior to making your trade. If you see a signi cant increase in volatility in the days or weeks leading up to the event you are expecting, then others may have already priced any changes into the options market ahead of time. It is not uncommon for expected earnings, dividends, or fundamental news for a market to be priced into the options well ahead of the event. 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