Why is the delta of the ATM strike not equal or close to 0.5? Is the delta calculated here with the BN Future as the underlying instead of spot? I see a 0.5 delta two strikes away from the ATM strike.
Why is the delta of the ATM strike not equal or close to 0.5? Is the delta calculated here with the BN Future as the underlying instead of spot? I see a 0.5 delta two strikes away from the ATM strike.