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I am trying to price an ATMF FX (say Usdidr) straddle - the fxdelta for call and put leg are quite different with put fxdelta being higher than call delta. (Absolute values) Why would this be the case? Is this related to distribution being assumed as log normal in black scholes model?

Thanks in advance.

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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):

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  • $\begingroup$ But the premiums for call and put are same, so something else should explain the difference in call and put deltas.. $\endgroup$ – babaji Sep 10 '18 at 14:11
  • $\begingroup$ I have added formula in the above answer, hope that answers your question. $\endgroup$ – Magic is in the chain Sep 10 '18 at 18:08

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