Sticky Strike, Sticky Delta, and Sticky Implied Tree

Discussion in 'Trading' started by Amahrix, Aug 12, 2018 at 4:19 PM.

  1. Amahrix

    Amahrix

    Peace,

    Is there an effective way to go about assessing whether you're in a sticky strike, sticky delta, or sticky implied tree environment?

    How can you build your senses to detect which environment you're in? Historical IV data last 3 months? 6 months?

    Or am I asking the wrong question entirely?

    Peace,
    Amahrix
     
  2. tommcginnis

    tommcginnis

    Two thoughts:
    1) plot (or simply inspect) the IV for the available strikes, and let your Spider Sense tingle when you observe lumps.

    2) plot (or simply observe) the IV and whatever "model IV" is available, and look for variances/lumpiness in the divergences.

    Market IV is very much a 'mood' thing. Well, that's fine. But when you see divergences from monotonic functions, that market is *screaming* of differences from efficient vol frontiers -- and there be *profit* in them hills.:)
     
  3. Amahrix

    Amahrix

    Peace,

    So we're looking for arbitrage opportunities, I see.

    I wonder (and do you think) that these opportunities exist more frequently than we think?

    Peace,
    Amahrix
     
  4. On the contrary, it is much harder to find arbitrage opportunities these days. Too many smart people looking at the markets