stickystrike

Under the sticky strike rule, the skew remains the same L0. Under the sticky delta rule the skew moves in the direction of the underlier move. Thus when the ...

由 T Daglish 著作 · 被引用 147 次 — In the generalized sticky strike model it is independent of S, but possibly dependent on other stochastic variables. 2.2 The Sticky Delta Rule. An alternative ...

sticky strike (or sticky-by-strike, or stick-to-strike): if spot changes, the implied volatility of an option with a given absolute strike does not change ...

2023年11月5日 — Sticky delta refers to adjusting IV when you bump up and down (because IV is stuck to delta /moneyness). I use Julia to plot ...

This is the or complacency model, or “sticky strike,” the closest thing to Black-Scholes. It's also the lazy-trader model. “STICKY STRIKE”. Characteristics t ...

Sticky-strike and sticky-delta1 Greeks – casualties of the subprime crisis? With acknowledgment to: 1 Emanuel Derman, Regimes of Volatility, 1999. 2 Edward ...

2021年11月26日 — Sticky Strike规则： 一些市场参与者认为，当股票/指数移动时，期权的波动率偏斜与行使价保持不变。这种行为被称为粘性打击规则。该规则适用于预计市场在 ...

2023年8月20日 — Under the sticky strike rule, the skew remains the same L0. Under the sticky delta rule, the skew moves in the direction of the underlier move.