macrocephalopod

or re-centre (sticky delta)? In reality it will be somewhere in between. The new spot price is a datapoint with which you can update your "prior" probability distribution. So the degree of delta-stickiness is related to how important you think the new spot price is.

@volmagorov what do you think? I'm not sure this is yet a practical observation, but it seems to be a fairly interesting philosophical link.

I’m not an options guy but I thought this debate was resolved nearly 100% in favour of sticky delta? Most places model the smile as a function of moneyness so vol deltas on a price move are smaller.

From the options dudes i've been speaking to, there is near-unanimous agreement that sticky strike is wrong but not everyone agrees that pure sticky delta is right.

Isn't this largely regime and asset dependent? But yeah, what macro said. I think I've seen some mixture models floating around.

Yup, but I'm trying to reason about how exactly it depends on regime/asset. What drives the appropriateness of sticky strike/delta? e.g the shape of the smile depends on regime/asset, but we can reason about it in terms of flows (conscious that this may just be a narrative)

for instance, equities smirk because of demand for downside protection while commods skew positive because of demand for upside protection from hedgers. So I wonder whether there is a more intuitive way of thinking about sticky strike vs delta and bayesian updating makes sense