Effective delta
Definition · Level 5 · Greeks & volatility
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An option’s real sensitivity to the stock on a skewed surface: model delta plus vega × the change in the option’s own IV per $1 move. It depends on which sticky rule you assume.
Example
105 call: 0.25 under sticky strike, 0.30 under sticky delta.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Sticky strike vs sticky delta”: On a skewed surface each option has its own implied volatility (IV). How those IVs move with the stock changes your profit and loss and your delta.
Related terms
- Sticky deltaA rule for how implied volatility moves with the stock: each option keeps the IV that goes with its delta or moneyness, so the whole smile slides…
- Sticky strikeA rule for how implied volatility moves with the stock: each strike keeps its own IV, so the skew stays pinned to the strike prices and at-the-money…
- 25-delta optionThe out-of-the-money call or put whose delta is ±0.25: the standard reference strike for quoting skew, and very roughly a 1-in-4 chance of finishing…
- Beating the priced moveJudging a straddle by comparing the move that actually happens with the move the straddle’s price implied, not with zero.
- Beta-weighted deltaA book’s delta expressed in index shares: delta × (stock price ÷ index price) × beta, summed over positions.
- Black–ScholesEuropean option-pricing model using spot, strike, time, rates, dividends and volatility; assumes lognormal prices, constant volatility, no jumps and…