With respect to an option‘s strike (strike price), it refers to the situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given strike. For example, an ATM option may become an OTM option (i.e., it is no longer at the money), while its implied volatility doesn’t change. This means that as the underlying price/ rate moves, the volatility level for the option will be the same with the passage of time.
The existence of a large open interest (the participants who are short the largest chunk of open interest) will, however, will affect the behavior of the broader market around the strike as expiration draws near. There will be bids below the strike level and offers above.
It is also known as a fixed strike or a sticky strike or volatility by strike.
