Sticky strike vs sticky delta
Sticky strike and sticky delta are two assumptions about how the volatility smile behaves when the underlying moves. Under sticky strike, each strike keeps its implied volatility; under sticky delta, or sticky moneyness, the smile moves with spot and each delta keeps its implied volatility. The choice changes computed deltas and hedge ratios.
Senzoukria · Glossary · Updated September 2026
At a glance
- Sticky strike
- IV of each strike unchanged when spot moves
- Sticky delta (moneyness)
- IV at a given delta or moneyness unchanged; smile shifts with spot
- Consequence
- Different at-the-money volatility and different hedge ratios after a move
Two ways the smile can move
A smile observed at one spot price does not say what it will look like after spot moves. Under sticky strike, the implied volatility of the 95 strike stays at its value whatever happens, so the at-the-money volatility changes as spot moves along a sloped smile. Under sticky delta, the whole curve slides with spot: the at-the-money volatility stays the same and each strike's volatility changes as its moneyness changes. Real markets often behave between the two, and in sharp sell-offs neither holds, since the whole level jumps.
Worked example
Spot is 100 and the smile slopes down by 0.5 volatility point per strike point: 100 at 18%, 98 at 19%, 102 at 17%. Spot falls to 98. Under sticky strike the 100 strike is still 18% and the new at-the-money strike, 98, is at 19%: at-the-money volatility has risen one point. Under sticky delta the new at-the-money strike is at 18%, and the 100 strike, now 2% above spot, is at 17%.
| Strike | Before | Sticky strike | Sticky delta |
|---|---|---|---|
| 98 | 19% | 19% | 18% |
| 100 | 18% | 18% | 17% |
Why it matters for hedging
- The Black-Scholes delta assumes volatility does not change when spot moves. If the smile moves with spot, the true sensitivity includes the change of implied volatility times vega, which a smile-adjusted delta adds.
- On equity index smiles with put skew, sticky-strike dynamics make at-the-money volatility rise when spot falls, which lowers the effective delta of calls and raises that of puts relative to the flat-volatility delta.
- Gamma exposure computed with each leg's current implied volatility implicitly assumes those volatilities hold, which is closest to sticky strike.
In Senzoukria
Senzoukria does not model smile dynamics. Its Gamma profile by price recomputes each leg's Black-Scholes gamma at hypothetical prices with the leg's current implied volatility held fixed, which is a sticky-strike assumption, and the skew history on the Volatility page records the 25-delta skew as observed once a minute rather than as predicted. Comparing that recorded skew with price moves is how the smile's actual behaviour over a session can be checked.
Related
In the same section
- Stop run
- Static drawdown
- Stop-limit order
- Stacked imbalances
- Stop-loss
- SQN
- Stopping volume
- SPX vs SPY options
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Frequently asked questions
- Which assumption is correct?
- Neither holds all the time. Studies and practitioner experience suggest equity index smiles often sit between the two in normal markets and shift upward as a whole in sharp declines. Desks estimate the behaviour from data rather than choosing one rule once and for all.
- Does this matter for a futures trader using GEX levels?
- Indirectly. The gamma of each strike, and therefore the profile and its zero crossing at hypothetical prices, depends on the implied volatilities assumed at those prices. A model that holds them fixed will differ from one that moves them with spot, especially for large moves.