A volatility strategy (volatility trade) which combines futures and options and is constructed by buying a put option (long put) and simultaneously buying the underlying (e.g. long stock) so as the overall position delta is netted to zero.

In a nutshell, from the buy perspective:

Put volatility trade = long put + long underlying

That is:

Buy 1 put

Buy 1 underlying

Net delta = zero (or close to zero)

This results in a position which depends on the volatility of the underlying.