This study on SPY options (2016–present) examines two methods of scaling trades: increasing contract count or moving to higher-delta options. While adding contracts boosts win rates ~5% and average profit up to 88% for strangles, tail risk jumps 73% for strangles and 71% for short puts. Max drawdowns rise 31–42%, and CVaR worsens significantly.

The key takeaway: increasing delta is preferable to adding contracts when sizing up, as it limits tail risk while maintaining a tighter P&L distribution.