Sticky Strike
Key Sticky Strike in Vol Curve refers to an optional Boolean also known as "sticky-by-strike" that sets the model assumption that affects how the implied volatility for a specific, absolute strike price changes as the underlying asset's spot price moves.
Needed only if Moneyness = true
If omitted, default is TRUE because it is more efficient due to the forward values being calculated only once and then cached for being later accessible as needed.
If TRUE, the model assumption states that the implied volatility "sticks" to the absolute strike, i.e. remains unchanged, even if the underlying asset's spot price moves.
Example: Given a call option with a strike of $100 and an implied volatility of 20%, if the stock rises to $110, the 100-strike call still has a 20% implied volatility.
Note, the forward values are reported under the read-only key _Forwards
The FALSE case is also known as "sticky-by-delta" or "sticky-by-moneyness", whereby the implied volatility "sticks" to the moneyness, i.e. remains unchanged as long as the moneyness does not change, even if the underlying asset's spot price moves.
Example: Given a call option with a strike of $100 and an implied volatility of 20%, if the stock rises to $110, the moneyness is reduced and therefore the 100-strike call will have a new implied volatility different than 20% (assuming a non-flat smile).
In most cases, this setting has no effect on the calculated price because the spot price is usually a fixed given input.