Buy an at-the-money straddle (or a 25-delta wing), hold it five calendar days, sell it. Repeated every week, per underlying, with the win rate and the spread of returns.

The position is a 30-day straddle held five calendar days, not a weekly. That is deliberate: the tenor then matches the tenor of the implied-vol series exactly, so the exit is repriced off an observed vol rather than one extrapolated to a maturity we never measured. Because it is sold before expiry, the return has two engines: the move the stock made, and the change in implied vol over the week. They come apart often. PG&E returns a median +20% a week here while moving less than its vol was asking for — its implied vol rose eleven points a week, and a straddle holder gets paid for that even if the stock sits still. The Δ IV / week column is there so you can see which engine is running; a row with a strong return and a flat Δ IV earned it from the move, and one with a strong return and a big positive Δ IV earned it from the vol being bid up, which is a different bet and a harder one to repeat. Implied move is what the entry vol was asking for over the holding period and realised move is what the stock did; their difference is the variance risk premium, normally negative because option markets charge more than the move that follows. That comparison answers the narrower question — whether the move covered the premium — which is the weekly-straddle-held-to-expiry trade, not this one. Win rate is greyed where fewer than five weeks stand behind it. Click view on any row to see every week, which is the only way to tell a real edge from one lucky gap.