I am quite familiar with equity implied volatility and smiles.
However, I find it quite confusing and unclear when it comes to FX. I read many materials but could not get a grasp of the notion of ATM volatility in FX option markets.
I am refering to the ATM delta neutral one. I saw that is defined as the the strike such that straddles have zero delta.
My thinking: Given that a long straddle is being long a call and long a put with the same strike and maturity, the straddle always has a zero delta. Isn't it ? I draw this conclusion from the fact that calls and puts with the same strike and maturity have the same implied volatility. And since the delta of a call is of opposite sign as the delta of a put this will give zero delta for the combination made to construct the straddle.
Could anyone tell me where I am wrong and help me understand the definition for ATM delta neutral volatility?