Definitions
The difference is what you hold fixed after the forward moves.
Both conventions start from the same volatility smile. The disagreement begins when the forward changes and a desk needs a quick scenario rule before running a full recalibration.
Sticky strike
Implied volatility is treated as fixed for each absolute strike. When the forward moves, that strike has a new moneyness and delta.
Useful when the question is how listed strike marks behave around the current order book.Sticky delta
Implied volatility is treated as fixed for each delta or moneyness bucket. The strike moves with the forward to keep the bucket comparable.
Useful for risk reports, scenario grids, and smile dynamics where desks discuss 25-delta or 10-delta nodes.Coordinate system
SVI makes the distinction explicit because the smile is fit in log-moneyness.
If the strike is fixed, k changes as the forward changes. If the delta bucket is fixed, k is held approximately constant and the strike rolls with the forward.
Sticky strike
k=ln(KF)Sticky delta
K=FekDesk usage
Use the convention that matches the operational question.
Listed markets
Sticky strike is closer to asking what happens to visible order-book marks.
A fixed strike can move from near-ATM to wing territory as the forward changes. That matters for quote-through-fit checks and strike-level monitoring.
Risk reports
Sticky delta is closer to asking what happens to a comparable smile node.
A 25-delta put remains a 25-delta put, but the strike that represents that node changes as the forward changes.
Production
Derivasys keeps both views inspectable beside fitted SVI state.
Native expiry smiles, fixed-tenor rows, risk nodes, and quote diagnostics make the convention visible rather than hidden inside a scenario label.
FAQ
Common questions.
Which convention is correct?
Neither is universally correct. Sticky strike and sticky delta are scenario conventions. The useful convention depends on whether the problem is listed-strike marking, delta-bucket risk, or a full surface revaluation.
Why does sticky delta move the strike?
Delta is tied to moneyness and forward level. If the forward changes but the delta bucket is held fixed, the strike must roll to stay in the same part of the smile.
How does this connect to SVI?
SVI is usually fit in log-moneyness. Sticky strike changes k = ln(K / F) when F moves, while sticky delta keeps a similar k bucket and changes K.
References