Hi Joachim,

The strategy of changing the moneyness in response to recent volatility is similar to the strategy of Moreira & Muir (2017), Volatility-managed portfolios, Journal of Finance.

The issue with this type of volatility timing in the market is that most of the results come from avoiding a small number of bad events and historical performance relies on getting the timing right for those historical events (I have a breakdown of these timings in a draft/note here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3832340).

In your strategy the size of the periodic drawdown is going to be very sensitive to the moneyness of the puts sold when the music stops and a market crash happens.

I found with the vol timing strategy, if historically you re-balance mid-month rather than at the end of the month, then the performance disappears. Is this because there is something special about end-of-month re-balancing that guarantees this timing or is it because the timing just happened to line up with a few negative market events historically?

If it's the latter there is a good chance the next crash might not be timed correctly, you will be writing closer to the money puts, and past performance will not reflect future returns!