https://robotwealth.com/trading-0dte-options-with-the-ibkr-native-api/ I'm thinking the opposite might be a better strategy : sell straddle when mean(actual_move) > mean(expected_move) and buy straddle when mean(actual_move) < mean(expected_move). I guess would be interesting to run/test both and see. Maybe running one or the other betting that there's going to be a flip from volatility expansion to volatility contraction after extended run and vice versa. Thoughts?
There is no way you can predict tomorrow's magnitude of move based on the magnitude of today's move. Just because today's move is smaller than expected doesn't mean that tomorrow's move would be small and vice versa and the opposite is also true. This is why options returns is so lucrative.