Here's what I'm trying to do: 1. Fill an array with artificial prices which daily changes are normally distributed. 2. Simulate one year of selling 7 days straddles. Sell ATM call and put, take prices from BS formula. For implied volatility use future volatility (calculated on 7 days ahead). Calculations are done with non-centered volatility, result is multiplied by (0.95 + rand(15)/100.0). This is to simulate that IV is usually higher than HV. I always thought, that if I sell vol which is higher than future realized, then I will be profitable. It seems I have to multiply realized vol by about 1.3 and use this number as IV to make selling straddles profitable. Is this expected? (no commissions in calculations).