Sticky-Strike / Sticky-Delta Regime (SPX)

A background diagnostic that tracks, day by day, whether SPX's implied volatility surface is behaving sticky-strike (vol pinned to a fixed strike as spot moves — typical of range-bound markets) or sticky-delta (vol riding along with spot at fixed moneyness — typical of trending markets). It's a read on the market's current character, not a trade signal by itself.

New feature, SPX only for now. Treat the readings as directional guidance — see Limitations.

Free Trial, Premium, and WhiteLabel editions only (or Developer mode) — once the Free Trial period ends, Freeware and Regular users lose access. See the Licensing & Editions guide.

Related:

Opening the dashboard

On the main toolbar, click the Data Chart button's dropdown arrow, then Sticky-Strike / Sticky-Delta Regime.
No OA window needs to be open — this runs independently at the SOAP2 main-window level.
If the item is greyed out, hover it — the tooltip explains why (see Availability).

The method

Each trading day, SOAP2 fits a small local skew curve near SPX's at-the-money (ATM) point (implied vol vs. log-moneyness, across a ladder of strikes spaced at the same interval GEX/VEX uses for SPX) and records three numbers: the spot price, the ATM implied vol, and the local skew slope.

Comparing two consecutive days gives the Sticky-Strike Ratio (SSR):

Observed change — how much ATM implied vol actually moved.
Sticky-delta prediction — assumes vol at fixed moneyness doesn't move, so the predicted change is ~0.
Sticky-strike prediction — reads yesterday's skew curve at today's new ATM strike (i.e. -(yesterday's skew slope) × (today's spot − yesterday's spot)).
SSR = (observed − sticky-delta prediction) ÷ (sticky-strike prediction − sticky-delta prediction) — which simplifies to observed change divided by the sticky-strike prediction.

A single day's SSR is noisy by design — real ATM vol moves for lots of reasons that have nothing to do with the mechanical skew-curve effect this ratio isolates. The dashboard's headline number is a 5-day rolling average of SSR, which is what the regime label and chart bands are based on.

Further reading on the underlying math (mathematical formulation, Greek sensitivities, worked numerical example): Sticky Strike vs Sticky Delta — Quant Finance with Python.

Reading the dashboard

Regime (top-left, bold) — the current classification: Sticky-Strike, Sticky-Delta, or Transitional/Mixed. See Interpretation guide for the thresholds.
SSR — today's raw single-day value, plus the 5-day rolling average in parentheses. The rolling average is the number that actually drives the Regime label.
Interpretation line — a one-sentence plain-English read of the current rolling-average value (see below).
Reversal flag (red text, only shown when triggered) — the rolling SSR is dropping fast (a Sticky-Strike → Sticky-Delta transition, the classic range-bound-to-trending shift) while realized volatility is still low. This is the "regime about to break" signature — it tends to precede the actual trend/vol move showing up in price, not just confirm one already underway.
Chart — daily SSR (thin grey line) and the 5-day rolling average (thick blue line) over time, with green/red reference lines at the Sticky-Strike (0.7) and Sticky-Delta (0.3) thresholds.
Refresh — re-runs the historical pull (see First-time use) and recomputes everything from the latest data.

Interpretation guide

Rolling-average SSR	Regime	What it suggests
≥ 0.7	Sticky-Strike	Vol at fixed strikes is holding steady as spot moves — consistent with range-bound trading.
0.3 – 0.7	Transitional / Mixed	No clean read either way right now.
0 – 0.3	Sticky-Delta	Vol is riding along with spot at fixed moneyness — consistent with a trending market.
< 0	(shown as Sticky-Delta bucket, but distinct)	ATM vol moved opposite to what the sticky-strike model would have predicted — a sign of active skew reshaping/whipsaw, not a clean trending read either.

A negative SSR is worth calling out specifically: it isn't just "close to Sticky-Delta," it means the observed move and the sticky-strike prediction pointed in opposite directions. The interpretation line on the dashboard already reflects this distinction.

First-time use

The first time you open the dashboard (or whenever there's less than 10 days of history), it automatically pulls about 90 calendar days of historical data for the underlying plus a ladder of ATM-region option contracts — a one-time download, typically a few minutes. A status message tracks progress; the chart populates once it finishes. After that, opening the dashboard again is instant (Refresh re-runs the pull to extend/refresh the history).

Availability

SPX only for now.
Requires an active IB connection to run the historical pull — the status line and message log say so explicitly if you're not connected.

Limitations

This is a new feature — treat the regime read as directional guidance, not a precise signal. It is explicitly a diagnostic, not a standalone trading signal.
The historical pull resolves one option expiry (the one nearest 30 days out today) and reuses it across the whole lookback window. A contract that's ~30 days out today was actually further out (perhaps ~90–120 days) that many weeks back, so the skew read drifts slightly toward a longer effective tenor the deeper into the window you look. Good enough for a first read of the regime; not perfectly constant-maturity.
Day-to-day SSR values can swing widely (even into large positive or negative numbers) when the day's mechanical sticky-strike-predicted move is small — this is expected and is exactly why the rolling average, not the daily print, drives the regime label.

Go back to the main help page: SOAP2 Help Guide

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