MediumOptions & GreeksAcceptance 73%
Delta of an ATM Straddle
OptiverIMC TradingSIG / Susquehanna
You buy an at-the-money straddle (one call and one put, same strike and expiry) on a non-dividend stock. Roughly what is the net delta of the position?
Approach
Use Δ_put = Δ_call − 1.
What is the delta of an ATM call?
Answer
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