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Could anyone explain why the 25-delta butterfly strategy is constructed by 0.5*(25-delta call + 25-delta put) - ATM straddle?

Especially, what the term "25-delta" represents in "25-delta butterfly strategy"?

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    $\begingroup$ 25 delta represent the strike at which the delta of the option is equal to 0.25 (call) and -0.25(put). It is just one way of measuring money-ness, other would be, say log of F/K (forward price divided by strike). $\endgroup$ – Magic is in the chain Oct 25 '19 at 7:08
  • $\begingroup$ "25 delta" is an abbreviation for "delta = 0.25". The first time I heard it I thought how can a delta equal 25, the maximum is 1. $\endgroup$ – Alex C Oct 25 '19 at 13:41
  • $\begingroup$ Haha, even I had the same thought when I heard it for the first time. Now calling 0.25 delta looks odd and 25 delta looks natural. $\endgroup$ – Ussu Oct 25 '19 at 13:58

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