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Quantitative Finance · Begrippenlijst

Wat is Sticky strike and sticky delta?

Ook bekend als: sticky strike · sticky delta

Definition 7.2 Derivatives and Volatility · Hoofdstuk 7 — Implied Volatility and Its Surface

Under sticky strike the implied volatility of each strike and expiry stays fixed when the spot moves: the smile, drawn against strike, does not move. Under sticky delta (also sticky moneyness) the implied volatility of each moneyness K/FK/F stays fixed: the smile moves with the forward, and the at-the-money volatility does not change.

The three-month smile before and after a 5% fall of the index. Under sticky strike the curve stays where it was and the new at-the-money strike (95.4) reads 18.1 volatility on it; under sticky delta the curve shifts left with the forward and the at-the-money volatility stays at 16.4. Round markers: at-the-money points. Data: the tutorial.
Figure 7.3. The three-month smile before and after a 5% fall of the index. Under sticky strike the curve stays where it was and the new at-the-money strike (95.4) reads 18.1 volatility on it; under sticky delta the curve shifts left with the forward and the at-the-money volatility stays at 16.4. Round markers: at-the-money points. Data: the tutorial.
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