TT - MM: IV Scaling Management, 01/06/14

TastyTrade - Market Measures

Take-away:

• Study: 5 years in IWM, TLT, FXE
• When IV Rank was above 50%:
• Sell 1SD strangle with 45 DTE
• When IV Rank increased by 10:
• Sell an additional strangle
• Compare the results:
• Manage winners at 25%, 50%, 75%
• Hold until expiration

Scaling into a position when IV Rank increases always paid off, with the average P/L per day being greater. Once again, managing winners is more profitable per day, as opposed to holding until expiration.