yodacaia

imagine you bought a call ands sold a put. all parameter are same. it is synthetic forward.

delta of forward = 1

say delta of long call = 0.5
delta of short put = 0.5
long call delta + short put delta = 1

spot goes up

forward delta no change stays = 1

long call delta goes to say = 0.7
short put delta must go to = 0.3
because we have synthetic forward and we know that total delta must be 1

both deltas changed by 0.2 - same gamma