Task: Document Skew Stickiness Ratio knowledge page

Table of Contents

This page documents a task in the Documentation improvements story. It captures the goal, current status, acceptance, and any notes or results.

1. Goal

Add a knowledge page under doc/knowledge/domain explaining what happens to an implied volatility surface when spot moves: the two classical rules (sticky strike, sticky delta), the third regime (sticky local volatility), the Skew Stickiness Ratio that measures where a real market sits between them, the adjusted delta and gamma, and the desk-practice view of computing smile deltas. Wire the page into the knowledge index and the related volatility pages.

2. Status

Field Value
State DONE
Parent story Documentation improvements
Now Nothing.
Waiting on Nothing.
Next Nothing.
Last touched 2026-08-25

3. Acceptance

  • A new knowledge page titled "Volatility: Skew Stickiness Ratio" exists under doc/knowledge/domain with Summary, Detail, Source and See also sections.
  • The page defines sticky strike, sticky delta, sticky local volatility and the SSR, with the maths in LaTeX, without redefining concepts covered by existing pages.
  • The page is linked from the knowledge index and from the Volatility, FX Volatility Surface, and Volatility surface driving pages as appropriate.
  • The page cites more than one source: the LinkedIn post and deck by Kshitij Anand plus the standard literature (Derman, Bergomi, Fukasawa, Vargas/Dao/Bouchaud, Balland, Daglish/Hull/Suo).
  • The site builds and serves the page.

4. Plan

  • Scaffold the page with compass, following the knowledge-doc recipe.
  • Research the concept across the web (Derman's regimes, Bergomi's SSR literature, arXiv) so the page does not rest on a single source.
  • Review rounds with the user, then a site build served over LAN for visual review.
  • Retrofitted as a task when the out-of-band branch became a PR.

5. Notes

6. Test Scenarios

Manual QA scenarios (scaffolded via compass add test_scenario, run through the QA Validation Runner panel) that verify this task. Link new ones here as they're created; the scenario doc itself links back via its "Verifies task" field.

Scenario State Notes
     

7. PRs

PR Title
#1996 [doc] Volatility: Skew Stickiness Ratio knowledge page

8. Review

Comment summary File Decision Notes
       

9. Result

Knowledge page Volatility: Skew Stickiness Ratio added under doc/knowledge/domain, wired into the knowledge index, the Volatility page and the Volatility surface driving page. The page covers the two classical surface-dynamics rules plus Derman's third regime, the SSR and its literature (Bergomi ch. 9.4, Fukasawa, Vargas/Dao/Bouchaud), the adjusted delta and total gamma with the ATM vs fixed-strike framings, asset-class notes, desk practice (smile-delta conventions, spot ladders), a numerical example and ORE Studio storage notes. Sourced from the Anand post/deck and the standard literature. Site build clean and served for review.

Emacs 29.3 (Org mode 9.6.15)