One way that we can take advantage of high IV is by buying a Butterfly spread. Here we are short 2 at the money calls/puts and then long 1 in the money call/put and long 1 out of the money call/put. This is a defined risk trade that has a large profit potential and a low probability of success. However, what would be the results if we placed a large number of butterflies with varying strike widths? Today, Tom Sosnoff and Tony Battista look at a huge study to see how a mechanical strategy would have worked over the last 5 years. In the first part of the study, they look at varying widths of the "wings" of the butterfly. They look at wings that are 5%, 10% and 15% of the underlying price. Then the guys see how Implied Volatility (IV) Rank impacts the strategy as well. They find that the wider the wings, the more profitable the strategy. However, when you are trading wide wings, the butterflies are more expensive. In order to mitigate this increase in price, a high IV Rank causes butterflies to trade cheaper!