Implied Volatility Crush Trade

Entry Logic

• Entry Trigger: Sell a straddle or strangle before a major news event.
• Confirmation: Implied volatility is very high.
• Timeframe: N/A.
• Location: N/A.
• Market Condition: High implied volatility.

Exit Logic

• Profit Target: 50% of the credit received.
• Scaling Out: N/A.
• Trailing Stop: N/A.
• Signal Failure: N/A.
• Opposite Signal: N/A.
• Time Expiration: Close after the news event.
• Momentum Loss: N/A.

Stop Loss Structure

• Hard Stop: 100% of the credit received.
• Soft Stop: N/A.
• Max Dollar Loss: $1000 per trade.
• Max Percent Loss: 100% of the credit received.
• Structural Stop: N/A.

Risk Management Framework

• Risk Per Trade: 2% of account balance.
• Daily Limit: 1 losing trade.
• Weekly Limit: 4% drawdown.
• Max Drawdown: 10% of account balance.
• R:R Requirement: Minimum 1:1.

Position Sizing Model

• Sizing Approach: Risk-based position sizing.
• Volatility Adjustment: N/A.
• Conviction Sizing: N/A.
• Scaling In: N/A.
• Scaling Out: N/A.

Trade Filtering

• Market Conditions: High implied volatility.
• Setups: Major news events.
• Instruments: Any.
• Time Restrictions: Before a news event.
• Chop/News Avoidance: N/A.

Context Framework

• Trend Direction: N/A.
• VWAP Relationship: N/A.
• MA Relationship: N/A.
• Range Location: N/A.
• Higher TF Alignment: N/A.

Trade Management Rules

• Breakeven: N/A.
• Scale Out: N/A.
• Add Size: N/A.
• Fast vs Slow Moves: N/A.

Time Rules

• Optimal Window: Before a news event.
• Times to Avoid: N/A.
• Session Notes: N/A.

Setup Classification

• A+ Criteria: Very high implied volatility.
• A Criteria: High implied volatility.
• B Criteria: Moderate implied volatility.
• C Criteria: Avoid.

Market Selection Criteria

• Instruments: Any.
• Volume: High.
• Volatility: High.

Statistical Edge Metrics

• Win Rate: 70%.
• Avg Win: 50% of credit.
• Avg Loss: 100% of credit.
• Profit Factor: 1.16.
• Expectancy: Positive.

Failure Conditions

• Strategy Fails: When the news causes a massive move.
• Specific Scenarios: Black swan events.

Psychological Rules

• Mental Discipline: Be comfortable with the risk.

Advanced Components

• Regime Detection: N/A.
• Filters: Implied volatility filter.
• Correlation: N/A.
• MTF Alignment: N/A.

Location

• Strongest: Before predictable news events.
• Weakest: Before unpredictable news events.