# delta-neutral volatility strategy

Long ATM straddles when the implied-volatility surface is expanding, short 5% OTM strangles when it is compressing.

Canonical: https://prismaticalgos.com/compendium/algo/11368-delta-neutral-volatility-strategy
Record ID: 11368
Catalog rank: 1665 (reading order, not performance)
Snapshot: 2026-10-31 15:46 UTC
Family: Trend Following & Directional (A)
Source: https://github.com/felipejpenagos/Capstone-Research-Modeling-Market-Geometry
Evidence label (unverified): backtest_shown

## Scope and limitations

These are machine-extracted research records, not verified trading systems. Catalog rank measures specification detail and claimed evidence, not profitability. The catalog extraction pipeline did not independently backtest these records. Its separate selected testing ledger does not validate the wider corpus. Rules, labels and parameters can be incomplete or wrong; consult the original source and its reuse terms.

No endorsement, ownership claim or source-code reuse permission is implied.

## Extraction warnings

Opacity warnings: UNDEFINED ENTRY TERM: the entry conditions are prose naming a concept with no numeric definition, so two readers would implement them differently. Advisory only -- this does not affect the score.

## Recorded profile

- symbols: AAPL, TSLA, NVDA, AMZN, SPY
- timeframes: any
- sessions: any
- market_regime: volatile

## Indicators

No indicator stack recorded.

## Recorded long-entry rules

- level expanding
- skew expanding
- smile expanding
- ATM curvature increasing

## Recorded short-entry rules

- level compressing
- skew compressing
- smile compressing
- ATM curvature decreasing

## Recorded exit rules

- +20% profit
- -14% loss
- 15 trading days

## Recorded filters

- curvature filter
- liquidity filter

## Risk controls

- Stop loss: not explicitly stated
- Take profit: 20%
- Position sizing: 0.5% of capital per trade