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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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