Guys, trying to get more and more comfortable with options and currently looking at straddles. I have a few questions though and I am sure you can help.
Looking at QQQ expiring 11/15/24 strike at 455 (ATM). First thing i notice is, that the delta for the call is 0.6 and for the put -0.4 – is it „normal“ that ATM options have such a deviation in delta i.e shoudln‘t it be closer to 0.5 for both of them?
Are straddles being bought in the same quantity (for both legs) despite the delta difference or does one more try arrive at a delta neutral position exposure meaning that eventually one would buy more puts than calls because of the delta deviation?
Posted by pumpaltcoin
1 Comment
It’s a common misconception that delta of ATM needs to be 50d.
Simplified, setting r=d=0 will result in delta being > 0.5 for any time t and implied vol σ that is > 0 (hence all the time).
Plenty more details [here](https://quant.stackexchange.com/a/73402/54838). It also shows (for FX, but the logic is the same), that a delta neutral straddle (called ATM delta neutral) is achieved with a specific strike and usually not through notional adjustment.
A computed example where ATMS delta is 94% can be found in [this answer](https://quant.stackexchange.com/a/76804/54838).