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Sticky delta

A surface regime where implied volatility attaches to moneyness rather than to a strike, so the whole skew shifts sideways as the underlying moves.

Under sticky delta, the at-the-money volatility stays at 25% wherever price goes, and each strike's volatility is repriced according to its new distance from the money. The curve translates with the market instead of standing still.

Index markets in trending conditions tend toward sticky delta; single names in quiet conditions tend toward sticky-strike. Real surfaces sit somewhere between and switch regimes, which is one reason volatility books are marked by humans rather than formulas alone.

Example: XYZ at $50 with at-the-money 25% and the $47.50 strike at 28%. XYZ falls to $47.50. Under sticky delta the $47.50 strike is now at the money and prints 25%, while the $45 strike takes over the 28% slot.

Related: sticky-strike, volatility-skew, volatility-surface, vanna

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

How a call option's delta changes with the underlying priceAn S-shaped curve rising from zero, passing through about a half at the strike, and flattening near one.Delta of a call option1.000.5008090110120Out of the moneyAt the moneyIn the money1.00 means it moves one-for-one with the stockdelta ≈ 0.50 at the strikeStrike 100Underlying price
Delta across the range of prices. Delta says how much a call's price moves for a one-point move in the stock. Far below the strike it is near 0 and the option barely reacts; at the strike it is about 0.50; far above it approaches 1 and tracks the stock.

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