When we are choosing delta while trading options, we also need to consider the IVR, because the speed of P/L expansion with regard to delta increase is faster with a higher IVR.
Our study using SPY strangles backs up this point. The study shows that when IVR is below 50, P/L increases less than 50% when delta increases from 10 to 30. And when IVR is above 50, P/L increases more than 150% when delta increases from 10 to 30.
Therefore, when IVR is high, a larger delta strategy is more preferable because large delta provides more substantial increases in P/L . And when IVR is low, a larger delta strategy is less favorable because it will lead to additional risk without fair compensation.