| Setup | IV Rank Required | Move Ratio Required | Event Context | Structure | Max Risk |
|---|---|---|---|---|---|
| Straddle | Below 30 | Above 1.0 | Earnings – buyer | Long call + put ATM | Premium paid |
| Strangle | Below 30 | Above 1.0, ratio < 1.3 | Earnings – buyer | Long OTM call + put | Premium paid |
| Calendar | IV diff >10 | N/A – use IV differential | Earnings – buyer | Short front, long back | Net debit |
| IV Crush | Above 50 | Below 0.85 | Earnings – seller | Iron condor | Strike width − premium |
| Butterfly | 50–65 optimal | Below 0.80 | Earnings – buyer | Three strikes, one expiry | Net debit |
| Theta Decay | Above 35 | Below 0.85 (realised vs implied) | Non-event – seller | Iron condor / CSP / CC | Defined – structure specific |
| IV Extremes | VIX >75th pct | Below 0.70¹ | Market fear – seller | Iron condor / put credit | Defined – structure specific |
