In the Black-Scholes pricing model, volatility and time variables go hand in hand. So how does our performance look when we adjust our Strangle Days To Expiration when IV Rank changes?
The data validates extending duration when IVR is lower and reducing duration when IVR is higher. Win rate and P/L stay constant. When IVR is low, one can maintain a similar P/L and win rate by extending duration. When IVR is high, one can maintain a similar P/L and win rate by reducing duration.
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