delta neutral strike FXO, briefly

d1 = 0

Therefore, |put delta| = call delta = N(d1) = 0.5


According to Fang Chao:
call delta = N(d1)
put delta = 1 – N(d1)

Q: is it always true that |put delta| + call delta = 1?
A: I think so, if without dividend. See http://en.wikipedia.org/wiki/Greeks_(finance)#Relationship_between_call_and_put_delta

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