Can someone explain to me the differences between an ATM straddle vs. a delta neutral straddle. What I am trying to compare is this: Say a stock trades at 55 An ATM straddle would be to buy 1 55 put and buy 1 55 call. Now, theoretically, the price of both the put and the call should be the same, but this is not the case. In reality, sometimes the 55 put will be cheaper. Thus, this straddle would not be delta neutral. So, looking at the option chain, you find the deltas that are most close together to be of the 65 call and 55 put. So it would seem that the 55call/55put straddle is skewed to the upside (has positive delta b/c the delta of the more expensive call is higher), whereas the 65call/55put straddle is truly neutral b/c the deltas almost cancel each other out. would that be correct? Now, I put on a true delta neutral straddle in real life, it turned out that it was not delta neutral.... The stock went from 55 to 60, so you would expect the 65 call and 55 put to increase/decrease in value equally but that was not the case. Is that because of the effect of GAMMA? but the gamme for the straddle was also essentially zero (i believe it was .17 or something like that). Is that little differnece in gamma sufficient to explain why the 65 call/55 put did not change in value by the same amount or was it market forces not following the theoretical B-S pricing? Finally, if in the future I want to put on a truly "market" neutral straddle, should I go ATM rather than delta neutral? Thanks!