Vol model: Skew or Sticky strike

Gear menu → Settings → Trading → Vol model: Skew (default) or Sticky strike.

Sticky strike and skew

Under sticky strike each strike keeps today’s IV whatever the underlying does. Under skew, IV follows the smile: when the underlying falls, put IVs rise. Tented moves each strike’s IV by half of what the smile implies, midway between sticky strike (none) and the local-volatility rule (all of it), about what SPX’s skew has measured.

Tented fits a smile to each expiration from quotes it samples a few strikes at a time, about once a minute for a symbol on a risk graph or held in your trades. Until an expiration’s smile arrives, its legs keep today’s IV and the toolbar reads “Skew pending” in amber; the curves reprice when the smile lands. The smile is flat beyond the outermost sampled strike.

• Greeks on the Skew model are the drawn curve’s slopes, so they include the smile’s move.
• PoP and the expected-move bands use the same smile; see Probability of profit.

Note

Futures options and VIX options always use sticky strike, and the toolbar says so. Futures options also always use calendar time.

To see what an IV change does, use the Vol what-if in What-if price, time and volatility.