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They call him Atticus because they are formal with their father. Calling him by his first name shows that the father and his children see each other as equals.
Scout does call Atticus "my father" when she is recounting her childhood experiences from an adult perspective. However, as a child, both she and her brother indeed did call him Atticus.
To understand how radical this was, one must understand a bit a bit about Southern culture, where, to this day, many children would never dream of calling their parents by their first names, and often that Miss, Mrs, or Mr, is followed by "ma'am" or "sir."
There are several theories about why Scout and Jem were permitted this familiarity. One suggestion is that this lack of manners is indictive of Atticus' poor parenting. The children grow up without a mother, raised largely by the maid Calpurnia instead. Atticus is so busy with his law practice and distracted that he never bothers to teach the children proper social rules.
Another take is related to Atticus' own beliefs in the power of children and the unearned respect adults are often given. The children call Atticus by his first name in order to cultivate a more open, rather than authoritarian, relationship. Atticus wants to keep the pathways of communication open between himself and his children. Allowing them to call him by name is a way he keeps their relationship more level.
It's not reasonable to think that Jem and Scout called Atticus by his given name because of an equality issue. In the South, at the time this amazing novel is set, equality wasn't possible between child and parent any more than equality was possible between black and white. That is the answer in my opinion. Atticus defended Tom Robinson, not because he thought there was a slim possibility he would exact justice on behalf of Tom, but because it was the right thing to do. It wasn't popular. It wasn't endorsed by the current culture, but Atticus couldn't do otherwise. Instinctively, his children knew this about him, and although the current climate forbade them to call him his given name, they did, because, quite simply Atticus was too real, too large, too important, to be called anything other than he was.
This writing device was a symbolic way of honoring what was right, real, raw, and true, despite prejudice and social norm. It parallels the trial in the novel and Harper Lee displayed genius.
Scout and jem call their father by his first name because its more formal to them. Yea now in our days people may think its disrespectful but in this case atticus dont think so. He recommends his children calling him by his first name.
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