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"?
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"?