Delta neutral SPX option and MES futures

Good afternoon,

My stupid brain thought a long 0.25 delta SPX call and short 5 MES futures would behave somewhat like a long straddle with half the theta decay, Vega exposure etc, as the call gets closer to ITM and delta increases, or further OTM and delta decreases.

Today SPX shot up and I lost money. Only until the delta of the call got to about 0.30 did it “catch up” and reach breakeven. I assume this is partially due to Vega decreasing. But is my delta off? Should I start with 30 delta? Should I do long puts and long MES instead? Am I stupid and this is worthless?