Re-straddling is something I looked at in backtesting but got worse PnL for the period I tested with...but probably need to go through again with more accurate numbers.
if stock with IV of 15 moves form 60 to 65 , what are you holding...practically a stock. By exiting and re-straddeling again( cheap , less days left at this point) how can you lose ? If stock keeps going up u are ok and if stock reverse , you are a big winner (vs holding the original 60 straddle). I'm not sure if pros doing it the same way , but it's always worked for me (in the long dispersion)
IV, I really like your method of comparing h to l vol vs. close to close vol for finding possible gamma scalp candidates. Have you done any screening based on that ratio?? How have your results been?? I think I may give that a try for June expiration. I will share my findings if there is any interest...........tman