Delta Neutral
Subtype of ATM DefThe fx option is considered to be at-the-money when its strike K is such that call delta = - put delta, with the deltas being calculated using the Black Scholes formula Black Scholes FX formula
The strike K will depend on the Delta Def and will be as follows:
For Spot: K = fe½σ²τ
For Fwd: K = fe½σ²τ
For PA Spot: K = fe-½σ²τ
For PA Fwd: K = fe-½σ²τ
The delta Δ will depend on the Delta Def and will be as follows:
For Spot: Δ = ½φDᶠ
For Fwd: Δ = ½φ
For PA Spot: Δ = ½φDᶠe-½σ²τ
For PA Fwd: Δ = ½φe-½σ²τ
The meaning of symbols and further details are in Black Scholes FX formula
Web reference available here