Fwd
Subtype of ATM DefThe fx option is considered to be at-the-money when its strike K equals the forward fx rate f.
The delta Δ will depend on the Delta Def and will be as follows:
For Spot: Δ = φDᶠN(φ½στ¹ᐟ²)
For Fwd: Δ = φN(φ½στ¹ᐟ²)
For PA Spot: Δ = φDᶠN(-φ½στ¹ᐟ²)
For PA Fwd: Δ = φN(-φ½στ¹ᐟ²)
The meaning of symbols and more details in Black Scholes FX formula
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