if a taxpayer settles a position which is part of a straddle by delivering property to which the position relates (and such position, if terminated, would result in a realization of a loss), then such taxpayer shall be treated as if such taxpayer— (A) terminated the position for its fair market value immediately before the settlement, and (B) sold the property so delivered by the taxpayer at its fair market value. (b) Regulations The Secretary shall prescribe such regulations with respect to gain or loss on positions which are a part of a straddle as may be appropriate to carry out the purposes of this section and section 263(g). To the extent consistent with such purposes, such regulations shall include rules applying the principles of subsections (a) and (d) of section 1091 and of subsections (b) and (d) of section 1233 (as in effect before their repeal). (c) Definitions and rules relating to straddles For purposes of this section— (1) Straddle defined The term straddle means offsetting positions with respect to applicable property. (2) Offsetting positions A taxpayer holds offsetting positions with respect to applicable property if the taxpayer holds any position which by itself, or in combination with 1 or more other positions held by the taxpayer, has a delta with respect to any other position held by the taxpayer which is within the range beginning with minus 0.7 and ending with minus 1.0. For purposes of this paragraph, positions shall be taken into account whether or not they are in the same applicable property. (3) Delta (A) In general The term delta means, with respect to any positions in applicable property, the ratio of the expected change in the fair market value of 1 position to any change in the fair market value of another position. (B) Method of determination The delta with respect to any position in applicable property with respect to another position in applicable property (or any combination of such positions) shall be determined— (i) in a commercially reasonable manner, and (ii) except as