Take-away:
If we enter a trade based on high IV Rank, and the IV Rank continues to rise, does this warrant scaling the position by selling more premium?
- Entry: past 5 years in FXE, IWM, and TLT
- IV Rank > 50%
- Sell 1SD strangle w/45DTE
- If IV Rank increases by 10 (say, from 55% to 65%) sell another 1SD strangle
- Results: In these non-stock (indexes) examples it paid off 28 out of 29 times to scale in.
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