As IV increases, we tend to see greater profits as premium sellers with roughly the same success rate. So what about the credit we collect? How does that change in varying IV environments?Study
- SPY, 45 DTE
- 16 delta strangles
- Since 2005
- Recorded average premium collected as % of stock price in varying IV environments
We find that on average, we collect 1% of the stock price in premium, and in higher IV environments we can collect double that.