Sticky delta
Definition · Level 5 · Greeks & volatility
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A 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 with the stock and at-the-money volatility stays put. Also called sticky moneyness.
Example
Stock up $2: the 105 call’s IV rises from 22.5 to 23.5; ATM vol stays 25.
Rules and market figures change: check the current ones before relying on this.
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.
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