Is there such a thing as a Sticky S ?

krystle920 · April 5th, 2005, 2:22 am

The formula for sticky strike is sigma(S,K,t) = sigma (at the money) - b(K-S)What is the formula if it is sticky S, like if the implied volatility for all options with the same stock index level is the same?

Collector · April 5th, 2005, 2:18 pm

another word for sticky spot is sticky delta I guess, there are several papers on this, at least one of them you can find at Dermans's homepage I think, If I remember right: "Regimes of Volatility" tells something about thiswww.ederman.com Also the paper on the SABR model discusses some of this I think, search for SABR on this site.

Gusak · April 6th, 2005, 6:21 am

there must eb some misunderstanding here. perhaps, as Collector, has suggested, Sticky S is used to actually denote stticky delta. This does not mean same implied vols for sam stock price though! If you really mean that it can only be Black Scholes