Can someone please explain volatility adjusted delta (i.e., sticky delta)

Resipsa1's picture
Rank: Senior Monkey | 68

Could someone explain what exactly the sticky delta is on an FX option and how to derive it at a high level. Is this another name for my smile delta, which I understand to be my delta adjusted for the vol smile. Been searching online and pestering the bloomberg help desk folks, but haven't got any closer to a good explanation.

Comments (4)

Jul 12, 2017

Maybe, this famous Derman paper will help?

Jul 22, 2017

I got this =)

Jul 22, 2017

Yo we don't email anymore!

Jul 22, 2017
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