To wit, why doesn't Delta Neutrality necessarily break even or lose money? I assume the semi-strong form of the EMH, defined in Zvi Bodie, Alex Kane, Alan J. Marcus. Investments (2018 11 edn). p 338.
The semistrong-form hypothesis states that all publicly available information regarding the prospects of a firm must be reflected already in the stock price. Such information includes, in addition to past prices, fundamental data on the firm’s product line, quality of management, balance sheet composition, patents held, earnings forecasts, and accounting practices. Again, if investors have access to such information from publicly available sources, one would expect it to be reflected in stock prices.
When you establish a position in stocks and options that is hedged with respect to fluctuations in the price of the underlying asset, your portfolio is said to be delta neutral, meaning that the portfolio has no tendency to either increase or decrease in value when the stock price fluctuates.
delta neutral The value of the options portfolio is not affected by changes in the value of the underlying asset.
Delta spread is an options trading strategy in which the trader initially establishes a delta neutral position by simultaneously buying and selling options in proportion to the neutral ratio (that is, the positive and negative deltas offset each other so that the overall delta of the assets in question totals zero). Using a delta spread, a trader usually expects to make a small profit if the underlying security does not change widely in price. However, larger gains or losses are possible if the stock moves significantly in either direction.
Presume that the stock price does not move significantly in either direction. Doesn't delta neutrality imply break-even (profit)? Then why can a trader usually expect to profit a whit? What about option premiums and transaction costs?