Can you explain what the SSR captures, measures, and why getting it right is important to traders and risk managers?

That's a good question.

SSR, to put it simply, is the sensitivity of the ad money volatility with respect to the change in the underlying normalized by the skew.

So this number is very important.

Well, why? It's very important to the traders.

Why? Because there is this result that shows that if the SSR equals to zero, you have what we call the sticky delta regime.

And if the SSR equals to one, you have what we call the sticky strike regime.

Can you explain to us what are the differences, pros and cons of the two?