My question is, don't equity options reflect 100 shares of the underlying asset? So don't you need to short 100 shares of equity in order to be delta neutral (instead of 1, which is what Natenberg makes it sound like in his book)?
When Natenberg gives examples for being delta neutral, he refers to the number of futures contracts to buy/short and to the commodity's price. One futures contract has a delta of 1 (or 100 if you're dropping the decimals).
I've often noticed in the options trading business that there are two groups of options traders-- one primarily trades the commodities side and the other group primarily trades the stocks and indexes side.
As you already know, the index futures for S&P (the ES folks) have options just for them, even though there are SPX and the SPY options on the index already. This means that there are three options sets for basically the same underlying-- with slightly different rules and different sizes.
Part of that is to preserve that dichotomy in thinking. Some of it is due to how customer trading accounts have been set up in the past. Futures accounts have usually been separate from stock. Even today, if you want to get great futures trading commissions rates, you are probably best with a separate account dedicated to a company which is primarily a futures broker.
