Since Delta is supposed to decrease as it gets closer to expiration. Does a call delta of 85 with 4 days to expiration make sense or is it too high? Would this be a losing trade?
The comment on the rest is.... it depends. IV can go be much higher than that or much lower. It is not a fixed metric to say 85 is too high and 15 is too low. Volatility collapse also doesnt follow a straight line towards expiry - in fact say Thursday before the bell volatility will tend - not always but tend - to be lower than at re-opening on Friday morning where it re-inflates. Furthermore collapse (ATM) is never really to zero before the bell on Friday as technically the options expire Saturday. There can be massive IV movements ATM - just look at APPLE last Friday.
With respect to the deltas, if you buy a call with an .85 delta with 2 weeks to expiration and everything else remains constant, the delta is not what changes, it is the decay of the time value premium that affects the sensitivity of the option. That is why I said it is not correct to approach it as if you buy an .85 delta call (which is DITM) then the delta is supposed to decrease. If you look at the formula the time value premium being decayed out is what changes the sensitivity of the option to the underlying. So on paper if the graph shows delta changing, it is really a mistatement of what is actually occurring or where the "loss" is coming from. However OP was referring to IV and IV is a relative number, not an absolute number so 85% IV only matters with respect to where IV has been trading in the past.
Thanks for clearing that up! Once I finish reading the Natenberg and Baird books, I'm sure I'll have some questions
Please remember IV is an annual measurement. Ask yourself how valid an annual measurement is for an option w 5 hours, 2 days, or a week to expiration? I would ignore IV as anything but a model of the risk. It's just a label that helps you identify value more quickly. If you take individual bets, the actual risk you want to determine is the break even move (up/down/or delta neutral) wherein your bet breaks even and profits.