A volatility strategy (volatility trade) which combines futures and options and is constructed by buying a call option (long call) and simultaneously selling the underlying (e.g. short stock) so as the overall position delta is netted to zero.
In a nutshell, from the buy perspective:
Call volatility trade = long call + short underlying
That is:
Buy 1 call
Sell 1 underlying
Net delta = zero (or close to zero)
This results in a position which depends on the volatility of the underlying.
