A situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given delta or moneyness. Options with the same moneyness (effectively, the equivalent of option delta), trade at the same volatility. In other words, the implied volatility of an option , for a particular maturity, is assumed to be dependent on the underlying price (spot price: S) and the option’s strike price (K). The moneyness variable (K/ S) is a basic measure of moneyness (a more practical measure is K/ F, where F is the forward value of spot price, S).

As the underlying asset price changes with the passage of time, the applicable volatility is dependent on changes in the option delta.

Volatility by delta is also known as a sticky delta or volatility by moneyness.