Spot on DMO. And it could be true at times that at-the-money spot puts have an higher absolute delta value than its corresponding at-the-money spot call if there is a dividend between valuation date and expiry and the effective annualised dividend yield is higher than the risk free interest rate. A handy little formula to calculate the the delta neutral straddle is as follows: K=F*exp(0.5*vol*vol*T) Where K is the strike of the call and put which will form the delta neutral straddle vol is implied Volatility T is time F is the forward, so for futures options it is the futures price, and if you are pricing stock options then manually calculate the forward. F = Spot *exp((Rf - DY)*T) Of course if you know the forecast or declared dividend of the stock in question you must first convert this to a continuous dividend yield. If anyone need to know this let me know, and i will type it in later