Selling strangles has been, on average, profitable in all IV environments. However, lower IV periods tend to be less profitable because credits are lower and the P/L % of credit is lower.
Based on the results from the backtest in this study, the average dollar P/L of a SPY strangle could be 4x to 5x higher when the VIX is above 20, compared to lower IVs when normalizing for strangle delta and price of the underlying.
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