Before we move on to talk about Gamma, it is worth just pausing and considering how we decide, which is the at the money strike in FX options. There are three ways this can be done at the money spot or ATMS is when the strike is set at the current spot FX rate. This is not particularly common in FX, unlike in equities.

At the money forward or ATMF is when the strike is set at the current forward FX rate. This is commonly used in FX, particularly in trades with clients. A property of an ATMF straddle is that the call and put have the same price because of put call parity, but they will have different deltas. This means that if the interbank market were to trade ATMF straddles as their standard trading product every time they did a trade, each side would need to do a small delta hedge, which would be a bit messy. This leads us on to the at the money delta-neutral straddle strike a bit of a mouthful, but this is the straddle where the call and the put have the same delta. This property makes this the standard in the interbank market. If in any doubt as to what your counterparty or client means when they say at the money, always check.