These could be premium adjusted deltas. Essentially the delta would have been adjusted by the amount of the option premium in foreign currency. Re-comment, here is the formula for the premium adjusted ATMF delta (note \phi=1 for call and -1 for put):
These could be premium adjusted deltas. Essentially the delta would have been adjusted by the amount of the option premium in foreign currency.
These could be premium adjusted deltas. Essentially the delta would have been adjusted by the amount of the option premium in foreign currency. Re-comment, here is the formula for the premium adjusted ATMF delta (note \phi=1 for call and -1 for put):
