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Sticky strike

A surface regime where each strike keeps its own implied volatility as the underlying moves, so at-the-money volatility changes with price.

Under sticky strike, the $50 line stays at 25% whether XYZ is at $49 or $51. Because the at-the-money strike changes as price moves, the at-the-money volatility slides along the existing volatility-skew — a fall raises it, a rally lowers it.

This assumption matters for hedging. Under sticky strike a long put position picks up extra profit in a decline, because the option you own moves toward the money where volatility is higher on the curve. Assuming the wrong regime gives you the wrong vanna and the wrong hedge.

Example: XYZ at $50 with the $50 strike at 25% and the $47.50 strike at 28%. XYZ falls to $47.50. Under sticky strike, the new at-the-money volatility is 28% because the $47.50 line did not move.

Related: sticky-delta, volatility-skew, vanna, volatility-surface

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

The volatility smile across strikesImplied volatility plotted against strike, dipping near the money and turning up at both ends, more steeply on the downside.Implied volatility32%28%24%20%8090110120Puts below the money cost moreFar calls cost more tooLowest IV near the moneyATM 100Strike price
The volatility smile. Options on the same stock and the same expiry are not priced off one volatility. Strikes near the money carry the lowest implied volatility, and it rises towards both ends — usually faster on the downside, which tilts the smile into a skew.

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