Sticky delta is a model assumption about how implied volatility behaves as the underlying asset price moves. Under sticky delta, implied volatility is assumed to remain constant for a given delta (moneyness) rather than for a given absolute strike price. This means as the underlying rises, the implied volatility at a fixed strike decreases, because that strike moves further out of the money. In practice, sticky delta behaviour is observed in trending markets where the relative positioning of strikes matters more than their absolute levels. For Nifty 50 options traders, understanding whether the market is behaving with sticky delta or sticky strike dynamics affects the P&L of delta-hedged option positions and the accuracy of risk models. Sticky delta implies that out-of-the-money options retain their volatility premium as the market moves through them.
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