Sticky strike
Definition · Level 5 · Greeks & volatility
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A 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 volatility changes as the stock moves. The model delta is the answer under this rule.
Example
Skew falls with strike: stock up, ATM vol falls.
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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