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.