High IV vs Low IV for Short Strangles: 21 Years of SPY Data

High IV vs Low IV for Short Strangles: What 21 Years of SPY Data Actually Shows

The Short Answer I tested one strategy on SPY for 21 years. Every month, sell one call and one put at the same time. Same expiration date about 45 days out. Both options chosen at the “17 delta” level (about an 83% chance they expire worthless). Buy back the position when its total value drops to half of what we collected, or hold to expiration if that target is not hit. 206 trades total. The strategy ran every single month for 21 years with no skipping. Overall win rate: 91%. But the picture changes a lot depending on what IV looked like at entry. Low IV entries (12% IV): 91% wins, $2 collected per share, 25 days average to profit Normal IV entries (17% IV): 87% wins, $3 collected, 24 days to profit High IV entries (25% IV): 100% wins, $4.30 collected, only 12 days to profit High IV is the best regime to enter the trade. More cash, faster exits, every single trade won. But the single worst trade in 21 years was a Normal IV entry in February 2020 that lost $77 per share when COVID hit. The biggest risk is not entering when IV is high. It is entering when IV is low and then watching it explode.

Most option sellers hear the same advice when they start out: sell when IV is high, you get more money, the trade works better.

That sounds right. It is also incomplete.

Bigger premium is only the entry. What happens during the trade matters too. Does the bigger cash come with bigger drawdowns? Do trades still work when IV is low and the money is thin? What about during real market panics? I wanted answers that came from actual data, not opinions.

So I ran every short strangle I could find on SPY going back 21 years. Same rules every time. Then I split the trades into three groups based on the IV at entry: Low, Normal, and High. Tracked them day by day. Win rates. Premium collected. Time to profit. How deep each trade got underwater. How fast it came back.

Here is what the numbers say. In plain English.

Part 1: What Is a Short Strangle?

A short strangle is one trade with two parts. Both parts happen at the same time.

• Sell one call option ABOVE the current stock price
• Sell one put option BELOW the current stock price

Both options expire on the same day. Both are roughly the same distance from the current price. You collect cash up front for taking on the trade. You win if the stock stays between your two strike prices and the options lose most of their value.

Think of it like a fence. You put one side of the fence above the stock and one side below. As long as the stock stays inside the fence long enough, the options expire worthless and you keep the cash you collected.

In this study, both options were sold at 17 delta. That is just a number from options pricing that means roughly: the market thinks each option has about an 83% chance of expiring worthless. We picked 17 delta on both legs, 45 days before expiration, and managed the trade until the combined value of both options dropped to half of what we collected (50% profit), OR until expiration arrived.

Important: this is a SINGLE trade with both legs managed together. Not two separate trades. The call and put are one strangle position.

Part 2: What Is Implied Volatility?

Implied volatility (IV) is the market’s guess about how much a stock will move in the future. It is shown as a percentage.

When IV is high, options are expensive. When IV is low, options are cheap. Same option, different price, depending on the market’s mood.

For an option seller, high IV is good at entry. The same strangle setup pays you more cash on a high-IV day than on a low-IV day, because all options are worth more. The strikes also sit farther from the current price (the market is pricing in bigger swings), so you get more breathing room. Both work in your favor.

But here is the part most option content skips: high IV usually exists for a reason. The market is not paying you extra premium for fun. It is pricing in real fear of bigger moves. Crisis. Big news coming. Uncertainty.

So the real question is not whether high IV pays more. It clearly does. The real question is whether the extra cash is enough to cover the extra risk. That is what the data answers.

Part 3: How We Tested It

The Data

• Every monthly SPY options chain from December 2005 through March 2026
• About 1 million valid option price rows after cleanup
• Daily bid, ask, mid price, delta, and IV for every option in the chain

The Strategy

• Short strangle: sell 1 call AND 1 put at the same time, single position
• Both legs at 17 delta (about 83% chance of expiring worthless)
• Entry: 45 days to expiration (closest day in the 40 to 50 range)
• Cash collected uses the bid price, a conservative assumption
• Exit: buy back the strangle when its total value drops to 50% of the cash collected, OR hold to expiration
• No stop losses. No rolling. No adjustments
• One trade per monthly cycle. Every single month. No skipping

How We Defined Low, Normal, and High IV

I pooled every SPY option observation in the 40-50 DTE window across all 21 years. Then computed the 33rd and 67th percentiles of the IV distribution. The cutoffs:

• Low IV: entries below 14.0% (the bottom third of all 21-year readings)
• Normal IV: entries between 14.0% and 19.4%
• High IV: entries above 19.4% (the top third)

The 21-year average IV at 40-50 DTE was about 17.7%. So the High IV bucket captures entries that were genuinely elevated relative to the long-run normal. Not just above-average, but in the top third of all readings.

Final Sample

• Total trades: 206
• Low IV: 70 trades
• Normal IV: 92 trades
• High IV: 44 trades
• Date range: December 2005 to March 2026

A note on 2008: my dataset has thin coverage of 2008 once the 17-delta filter at both legs and the 45-DTE window is applied. The corresponding strikes either had stale prices or missing quotes for most of that year. 2009, 2018, 2020, and 2022 are well covered.

Part 4: What 21 Years of Data Actually Shows

Across 206 trades over 21 years, the 50% profit exit rule produced winners about 91% of the time. That covers 2009, 2018, 2020, and 2022, every major market stress event in the period.

But the headline rate hides what is going on under the hood. Win rates, cash collected, time to profit, and breach behavior all change significantly depending on the IV regime at entry. The year-by-year chart tells that story first.

Chart 1. Average entry IV (orange line) and average cash collected per trade (bars) by year. Bar color shows the dominant IV regime for the year. Spikes in 2009, 2020, and 2022 reflect real market stress.

Two patterns stand out:

• Cash collected scales tightly with entry IV. In 2017 (avg IV around 10.5%), trades collected about $1.65 per share. In 2022 (avg IV around 23%), trades collected about $6.12 per share. About 3.7 times more cash for the same delta and DTE
• High IV years cluster around crises. Low IV dominates the calm trending periods like 2013-2017

Comparing Low IV outcomes to High IV outcomes is really comparing calm markets to stressed ones. The IV regime is not just an entry filter. It is mostly a marker for what kind of market you are trading in.

Part 5: The Numbers Side by Side

Full performance table across the three IV buckets:

Metric	Low IV	Normal IV	High IV
Average entry IV	~12.1%	~16.6%	~24.9%
Number of trades	70	92	44
Win rate	91.4%	87.0%	100%
Avg cash collected	$2.08/sh	$3.27/sh	$4.33/sh
Avg P&L per trade	$0.80/sh	-$0.19/sh	$2.67/sh
Avg days to 50% target (winners)	25.4 days	24.2 days	12.4 days
Call leg breach rate	17.1%	20.7%	4.5%
Put leg breach rate	11.4%	10.9%	4.5%

Win Rate

Chart 2. Win rate by IV regime (left) and average days to hit the 50% profit target (right). The gold dashed line marks the 83% baseline implied by the 17-delta entry. All three regimes beat that baseline, with High IV at a clean 100%.

Win rates by regime:

• Low IV: 91.4% (64 wins out of 70 trades)
• Normal IV: 87.0% (80 wins out of 92 trades)
• High IV: 100% (44 wins out of 44 trades)

All three regimes beat the 83% baseline that the 17-delta entry suggests. Two reasons:

• SPY drifts upward over the long run, which pushes puts toward expiring worthless slightly more often than a symmetric model would predict
• The 50% profit exit closes positions early when they are working, before they have time to deteriorate

The Normal IV bucket is the one to pay attention to. 87% wins is the worst of the three. Why? A small number of catastrophic losses pulled it down. Most notably the February 2020 trade that got hit by COVID mid-life. We look at that one in detail in Part 6.

Cash Collected and Profit

Chart 3. Average cash collected at entry (left) and average P&L per trade (right). Normal IV looks slightly negative on average because of three or four very large losing trades that overwhelmed the average. The median Normal IV trade was actually profitable.

Cash collected scales almost exactly with IV level:

• Low: $2.08 per share → Normal: $3.27 → High: $4.33
• About 2.08 times more cash from Low to High
• The IV ratio from Low (12.1%) to High (24.9%) is about 2.06 times
• So premium and IV scale together almost perfectly, which is what options theory says they should

Average P&L tells a different story. Low and High IV both made money on average. Normal IV came out slightly negative because of a few large losing trades. The median Normal IV trade was profitable. The mean was not. That gap matters and we cover it in the stress period section.

Time to Profit

How fast each regime hit the 50% profit target:

• Low IV: 25.4 days on average (out of ~45 DTE at entry)
• Normal IV: 24.2 days
• High IV: 12.4 days

High IV trades hit the target in less than half the time of Low IV trades. That is a real edge. The same dollar of capital can be redeployed roughly twice as often in High IV conditions. More dollars per year for every dollar at work, even before the bigger per-trade premium kicks in.

Breach Rates: Call vs Put

Chart 4. Call leg vs put leg breach rates by IV regime. A “breach” means SPY touched or crossed one of the strikes at some point during the trade, even if the trade ultimately recovered. High IV had the lowest breach rate across both legs.

A breach means SPY touched or crossed one of your strikes during the trade. The trade can still recover and exit profitably (and most did), but a breach is a signal of how badly the position got tested.

What the data shows:

• Low IV: 17.1% call breach, 11.4% put breach (calls got tested more often as the market rallied)
• Normal IV: 20.7% call breach, 10.9% put breach (similar pattern, calls tested more)
• High IV: 4.5% call breach, 4.5% put breach (almost nothing got tested)

This is counterintuitive. People assume High IV trades are the dangerous ones. The data shows the opposite. Breach rates are LOWEST in High IV. Why?

• High IV trades exit fast (12 days vs 25+). They simply do not stay in the market long enough to get breached
• Premium collected in High IV is so much larger that the strikes sit much farther from spot in dollar terms. The same 17 delta is physically farther away when IV is elevated
• High IV environments also tend to compress quickly, which accelerates the profit target hit

The breach pattern is actually MORE common in Low and Normal IV. Slow-moving markets give the strikes more time to get tested. And in those calmer regimes, the cash collected at entry is thin, so there is less buffer.

Where this fits in the bigger picture These numbers are pieces of the framework I walk through in my free masterclass: when to sell premium, what IV environment fits which trader, and how to manage the position through stress. Same data you are seeing here, turned into a decision system. Register: https://sqilled.co/free-masterclass/

Part 6: Inside the Four Stress Periods

Averages hide what really happened during the worst stretches. This section walks through each of the four major stress periods in detail. How deep the breaches went. What the worst point of each trade looked like. How long it took surviving trades to come back.

Chart 5. Worst mark-to-market loss during each trade in the four stress periods. Green bars recovered to a profitable exit. Red bars closed at a loss. The February 2020 trade is the outlier of the entire 21-year dataset.

2009: Post-Crisis Recovery (4 trades)

The 2008 crisis is mostly outside my clean sample. The data I do have for 2009 captures the aftermath, when IV was still very high but the market had started to recover.

• Trades: 4 (May, June, July, November 2009)
• All four classified as High IV (avg entry IV around 28.7%)
• Win rate: 100%
• Average cash collected: $1.81 per share
• Average P&L per trade: $1.04 per share
• Call breach rate: 0%, Put breach rate: 0%
• Worst point of any trade: less than 5 cents per share underwater
• Average days to 50% target: 1 to 5 days

This is the textbook “high IV paradise” case. The market had finished crashing. Premium was still very rich. Trades closed almost immediately as IV compressed and price stabilized. The worst point of the worst trade in 2009 was 5 cents per share. Essentially no drawdown. Fast wins.

2018: Vol-mageddon and December Selloff (12 trades, 4 in Q4)

2018 had two big stress events: the February vol-mageddon spike that broke VIX products, and the late-year selloff that bottomed Christmas Eve. The whole year produced 12 trades, with the most interesting ones in Q4.

• October 2018 trade: Entered at IV 11.5% (Low). SPY fell from $292 at entry to $264 at worst. The $279 put strike was breached by 5.3%. Worst MTM: -$13.16 per share. The trade did NOT recover and closed at expiration with a -$2.74 loss
• December 2018 trade: Entered at IV 19.1% (Normal). SPY fell from $270 to $234 mid-trade (Christmas Eve low). The $250 put strike was breached by 6.3%. Worst MTM: -$15.16 per share. The trade DID recover, hitting the 50% target 15 days after the worst point, exiting with a $1.93 winner

The December 2018 trade is a perfect recovery example. The trade got punched in the face during the Christmas Eve selloff. Put leg breached by more than 6%. Worst MTM was -$15 per share on a $3.23 credit. But the market reversed in early January 2019, and the trade closed for a profit within 15 days of its worst point.

2020: COVID (11 trades)

The most important stress period in the dataset. Eleven trades from January through December 2020. This is where the single most catastrophic trade in the whole 21-year study lives.

• Total trades: 11
• IV mix: 1 Low IV (January), 1 Normal IV (February), 9 High IV (March-December)
• Win rate: 90.9% (10 winners, 1 catastrophic loser)
• Average cash collected: $5.44 per share (second-highest year in the dataset)
• Average P&L per trade: -$4.06 per share (the one disaster dragged the year negative)
• Average days to 50% target on winners: about 6 days. Extraordinarily fast

The February 2020 trade is the entire story of this year. Let me lay it out completely:

• Entry date: February 4, 2020
• Entry IV: 15.0% (Normal IV bucket, right at the long-run average)
• SPY at entry: $329.58
• Put strike: $310 (about 6% below spot)
• Call strike: $342 (about 4% above spot)
• Entry credit: $3.22 per share
• What happened: COVID hit. By March 20 expiration, SPY was at $229.24
• Put strike was breached by 26.05% (SPY fell from $310 down to $229)
• Worst MTM: -$77.54 per share, which is -$7,754 per contract on a $322 credit
• The trade never recovered. Final loss at expiration: -$77.54 per share

This is the single most important data point in the whole study.

The trade entered as a perfectly ordinary Normal IV setup. There was nothing wrong with it on paper. The IV was right around the long-term average. SPY was at all-time highs. Strikes were placed at standard 17-delta distance. Everything looked fine.

Then the world changed. COVID. IV exploded from 15% at entry to over 80% within six weeks. The premium that should have decayed to half within 30 days instead doubled, tripled, kept going. There was no scenario where the 50% target was going to trigger. The trade just held to expiration and the put was massively in the money.

Two lessons from this single trade:

• The IV regime at entry does not tell you about vol expansion DURING the trade. A Normal IV entry can become an extreme IV environment overnight if news breaks
• The 50% profit rule stops a lot of damage, but it does not stop catastrophic single-trade losses when IV expands faster than premium can decay. No stop loss compounds this

Here is the second half of the 2020 story that the catastrophe overshadows. After COVID crashed, the next 9 trades of 2020 (March through December) all entered in High IV. All 9 won. Average cash collected was about $6 per share. Average days to 50% target was 6 days. Nine clean fast wins. The disaster did not make those trades back in raw dollar terms, but it reset the strategy for the rest of the year.

2022: Rate Hike Bear Market (11 trades)

The 2022 bear was slower than COVID but more sustained. The Fed hiked rates aggressively, markets ground lower most of the year, IV stayed elevated throughout.

• Total trades: 11
• IV mix: 2 Normal IV, 9 High IV
• Win rate: 90.9% (10 winners, 1 loser)
• Average cash collected: $6.12 per share
• Average P&L per trade: $1.54 per share (positive even with the loser)
• Put breach rate: 27.3% (3 of 11 trades)
• Call breach rate: 0% (the rally that would break the call simply did not happen)

The April 2022 trade was the year’s catastrophic loser:

• Entry date: April 5, 2022
• Entry IV: 19.2% (just barely Normal IV, right at the threshold to High)
• SPY at entry: $451.54
• Put strike: $417
• Entry credit: $5.58 per share
• What happened: SPY ground lower through April and May. By May 20 expiration: $389.44
• Put strike breached by 6.61%
• Worst MTM: -$22.01 per share
• Final loss at expiration: -$21.98 per share

Two other trades in 2022 (January and February) also breached the put strike but recovered to hit the 50% target. The January 2022 trade is interesting: it breached by 3.5%, hit a worst MTM of -$14.61 per share on a $4.90 credit, then recovered 14 days later to hit the 50% target with a $2.95 winner. That is the typical pattern in High IV stress. Deep but temporary drawdowns followed by rapid recovery.

Recovery Dynamics Across the Stress Periods

Chart 6. For the trades that recovered to a profitable exit during stress periods: median days from the worst point of each trade back to breakeven, then to 25% profit, then to the 50% target.

Looking at only the winners that had at least some drawdown:

• 2009: trades barely went underwater. Median recovery times were near zero
• 2018 winners: about 11 days from worst MTM to breakeven, 15 days to 50% target
• 2020 winners: about 2 days from worst MTM to breakeven, 4 to 6 days to 50% target. Recoveries were extremely fast because IV compressed aggressively after the spike
• 2022 winners: about 7 days from worst MTM to breakeven, 14 days to 50% target

The pattern in stress periods: the trades that ARE going to recover tend to recover quickly. Most winning trades made it back to the 50% target within two weeks of their worst point. The trades that did NOT recover (February 2020, April 2022, and a few others) were the ones where the underlying move was so extreme that no amount of mean reversion was going to bring the position back inside expiration. That is the structural risk of holding short premium without a stop loss.

Part 7: How the Strategy Actually Ran

A reasonable question reading this far: did the strategy only run during High IV? Or sit idle between High IV periods? And what exactly defined the 44 High IV trades?

This section answers both directly.

The Strategy Ran Every Single Month, Without Skipping

The most important point first. The strategy did NOT wait for High IV conditions to trade. It ran continuously for 21 years. One trade per monthly cycle. Same entry rules. Regardless of what IV happened to be that month.

Concretely: every month, on the day closest to 45 DTE from the next monthly expiration, the strategy entered a 17-delta short strangle. Same delta target. Same DTE window. Same exit rule. The IV at entry was just recorded. No filter was applied to skip Low IV months.

Of the 206 trades in this study:

• 70 happened to enter when IV was Low
• 92 happened to enter when IV was Normal
• 44 happened to enter when IV was High

The “High IV bucket” is not a separate strategy. It is the subset of the same continuous strategy that happened to be entered during elevated IV regimes.

What Defined the 44 High IV Trades

Each of the 44 trades met one and only one criterion: the average IV at the 17-delta legs at entry was greater than or equal to 19.42% (the 67th percentile of the full 21-year IV distribution at 40-50 DTE).

Those 44 trades scattered across the calendar based on when IV happened to be elevated:

• 2009: 4 trades (post-2008 recovery period)
• 2010-2011: 11 trades (European debt crisis, US debt ceiling)
• 2012-2019: 5 trades (sporadic vol spikes)
• 2020: 9 trades (COVID and the rest of the year)
• 2021-2022: 12 trades (concentrated in the rate-hike bear)
• 2023-2025: 3 trades (occasional vol expansions)

The strategy did not target these months. It just happened that when monthly entry dates landed during elevated IV environments, the trades that resulted ended up in the High IV bucket.

What the Strategy Did NOT Do

To be clear about what was NOT happening in any of these 206 trades:

• It did NOT use stop losses. Trades held until either the 50% profit target hit or expiration arrived
• It did NOT roll losing trades to the next month or to different strikes
• It did NOT adjust the position once entered. No defensive moves
• It did NOT skip months when IV was low. The Low IV bucket exists because of those entries
• It did NOT use any directional bias. Same 17 delta on both call and put. Pure neutral position
• It did NOT use a portfolio of strangles. One position at a time. Single contract.

The Strategy Was Short Strangles Only

Some readers may wonder if any of these trades were short puts alone, short calls alone, or other variants. They were not. Every one of the 206 trades was a short strangle with BOTH legs sold at the same time:

• One short call at +17 delta (above the spot price)
• One short put at -17 delta (below the spot price)
• Same expiration date for both legs
• Both legs managed together as one position
• Both legs closed together either when the combined value hit 50% target or at expiration

No iron condors. No verticals. No covered calls. No cash-secured puts. Just the symmetric short strangle. The whole point of the study was to isolate this one specific structure and see how it performed across 21 years and three IV regimes.

Part 8: High IV – The Good, The Bad, and The Risky

A clean breakdown of what the data says on each side of the High IV question.

What High IV Does Well

More premium per trade. 

At average entry IV of 24.9%, average cash collected was $4.33 per share. In Low IV (avg 12.1%), it was $2.08. More than double. Bigger cushion against adverse moves. Higher absolute P&L per trade.

Faster path to profit. 

Average days to 50% target in High IV was 12.4. In Low IV it was 25.4. About half the time. That accelerates capital efficiency on its own.

Highest win rate. 

100% win rate across 44 High IV trades, including 2009, 2018, 2020, and 2022. Every single one ended profitably.

What High IV Gets Wrong (or where it might fool you)

The extra premium reflects real fear. 

High IV environments cluster in crisis years. The extra cash is the market pricing genuine uncertainty. The 100% win rate in this sample reflects the specific outcomes of 2009, 2020, and 2022. All periods that eventually recovered. A forward-looking view should not assume similar outcomes if the next crisis is slower or extends longer.

Volatility can spike AFTER entry. 

This is the lesson of the February 2020 trade. Positions entered in Normal or even Low IV can become High IV trades overnight if news breaks. In those situations, the seller faces both an adverse price move AND a simultaneous IV expansion. Even before the strike is touched, rising IV alone can blow up the option price and create temporary or permanent losses.

A 100% win rate in 44 trades is a small sample. 

In statistical terms, “44 out of 44” sounds like proof. It is suggestive, not conclusive. The confidence interval is wide. The next 44 High IV trades might produce 1 or 2 losers.

Where the Real Catastrophic Risk Lives

Looking at the 18 losing trades across all 21 years:

• 12 of 18 losers entered in Normal IV
• 6 of 18 losers entered in Low IV
• 0 of 18 losers entered in High IV

The worst losses (-$77, -$28, -$22) all came from Normal IV entries that got hit by vol expansion mid-life. The Low IV losses tended to be smaller (mostly -$1 to -$10 range) because the strikes were closer to spot, but the underlying moves needed to break them were also smaller.

The pattern is clear: Normal IV entries are where the strategy is most vulnerable to surprise vol expansion. Low IV trades have small premium and small breach magnitudes. High IV trades have big premium and structural protection from fast exits and far strikes. Normal IV trades sit in the middle. Enough premium that they look like a real trade. Not enough premium to absorb a real shock. Strikes close enough to be tested when markets move.

Part 9: Practical Takeaways

The 50% Profit Rule Is the Single Most Important Mechanic

Across 206 trades and 21 years, the 50% profit exit closed positions early when they were working. It is the reason High IV trades hit a 100% win rate. It is the reason Low and Normal IV trades still won 87-91% of the time despite the underlying volatility. Without that rule, the win rates would be materially lower across the board.

High IV Improves Capital Efficiency More Than Per-Trade P&L

The 2.1x cash advantage of High IV over Low IV is real. The 2x time advantage may be more important in practice. The same dollar of capital can be redeployed twice as often in High IV. That compounds meaningfully over a year, even when individual trade differences look small.

Breach Risk Is Not Uniform Across Regimes

Counterintuitive but important. Breach rates are LOWEST in High IV (4.5% on both legs) and HIGHEST in Normal IV (20.7% calls, 10.9% puts). The reason: Low/Normal IV trades stay in the market longer and have closer strikes, so they get tested more. High IV trades exit fast and have farther strikes.

The Biggest Single-Trade Risk Lives in Normal IV

All three of the worst losses in the dataset came from Normal IV entries that got hit by sudden vol expansion. This does not mean Normal IV trades should be avoided. It means traders should size them carefully and accept that a Normal IV entry is the most exposed to “I did everything right and got crushed anyway” outcomes.

Low IV Is Not Risk-Free Either

Six losses came from Low IV entries. The buffer is thin when premium is small. A modest move (3 to 6% against the trade) is enough to overwhelm a $1-$2 credit. The losses are smaller in dollar terms than the Normal IV disasters, but in PERCENTAGE terms they can wipe out multiple winners.

For an alternative view on selling premium that uses less capital, see the wheel strategy backtest or the long calls vs short puts comparison.

FAQs

If High IV shows 100% win rate, is it always the best time to sell premium?

The 100% win rate across 44 High IV trades is real, but it is a specific 21-year sample. Every trade used the 50% profit exit. Trades exited fast. The 100% rate reflects the specific outcomes of 2009, 2020, and 2022. All of those eventually recovered. A future stress event that compresses more slowly or lingers longer at elevated IV could produce different results.

How were the Low/Normal/High thresholds chosen?

They were computed from the data, not picked from a hat. All option rows in the 40-50 DTE window across 21 years were pooled, and the 33rd and 67th percentiles of the IV distribution became the cutoffs (14.0% and 19.4%). These are specific to this dataset, this DTE window, and this time period. They would shift if computed on a different window or different underlying.

Why does the Normal IV bucket have a negative average P&L if the win rate is 87%?

A small number of catastrophic losses pulled the average down. The Feb 2020 trade alone lost $77.54 per share. The Apr 2022 trade lost $22. The Oct 2023 trade lost $28. The MEDIAN Normal IV trade was profitable. The MEAN was not, because of those three or four outliers. This is a structural feature of selling premium without stop losses: losers can be much bigger than winners in dollar terms.

Does entry IV alone determine how a trade behaves?

No. Entry IV is the sole classification used in this study, but what happens to IV DURING the trade matters too. A position entered at 16% that experiences a vol spike to 30% midway through will behave very differently from one where IV stays flat or compresses. This study captures the average effect across each bucket, not the full path-dependent behavior of every trade.

How does the breach rate finding compare to common assumptions?

It contradicts the common assumption that High IV trades are the dangerous ones. The data shows breach rates are LOWEST in High IV (4.5% on both legs) and HIGHEST in Low/Normal IV. The reason is that High IV trades exit fast and have farther strikes. Low and Normal IV trades stay in the market longer, with closer strikes, and get tested more often.

What was the worst single trade in the study?

February 4, 2020. Entered as a Normal IV setup (entry IV 15%). Lost $77.54 per share when COVID hit and SPY fell from $329 to $229 by expiration. This single trade is more important than the aggregate numbers. It is the cleanest example of how vol expansion AFTER entry can overwhelm the strategy even when the entry looked fine.

Did the strategy use stop losses?

No. Every trade was held until either the 50% profit target hit or expiration arrived. Adding a stop loss (e.g., close the trade if the strangle value doubles) would change the results meaningfully. It would prevent the worst losses, but it would also turn some recoveries into realized losses. Different trade-off with different math.

Why is 2008 underrepresented?

My dataset has limited coverage of 2008 once the 17-delta filter is applied at both legs and the 45 DTE window is enforced. Many corresponding strikes either had stale prices or no quotes that year. The strict liquidity requirements dropped 2008 cycles that the more relaxed filters might have kept. Coverage in 2009, 2018, 2020, and 2022 is complete.

Is 44 High IV trades enough to draw conclusions?

It is suggestive but not conclusive. A 100% win rate in 44 trades has a wide confidence interval. The directional findings (faster exits, more premium, lower breach rates) are likely robust because they line up with options theory. The specific 100% win rate should be taken with appropriate humility.

Are these results net of commissions?

No. Real fills would face commission costs (roughly $1.30 per contract round-trip on common retail platforms) and slippage from the mid price. Across 206 trades, this would lower each strategy variant by about $268. It compresses the absolute numbers slightly but does not change the rank order of results.

Where did the SPY data come from?

Historical end-of-day options chains, the same source used across all my research at sqilled.co. Every entry, exit, IV reading, and breach in this article is computed from real bid/ask data, not from a model.

What’s Next

Backtests like this one answer a specific question well: how has this exact strategy performed historically? Applying the answer to your account is a different question. It depends on your capital, your goals, and your tolerance for the kind of catastrophic single-trade risk that lives in this strategy.

My free masterclass walks through the framework I use to decide when to sell premium, what IV environment fits which trader, and how to manage positions through stress. Same data you saw in this article. Turned into a decision system.

Free Masterclass: How to Read the Market and Pick the Right Side Live, 90 minutes, completely free. Walks through the strangle setup, the 50% exit rule, the IV regime framework, position sizing, and management decisions for selling premium. Open to anyone who is past the first 6 months of trading and wants a real system instead of guessing. Reserve your seat: https://sqilled.co/free-masterclass/

See you in there.

Addy