I'm looking for a proxy (or some rule of thumb) that can create a link between the implied volatility, the realized volatility and the frequency of Delta hedging required to keep the Delta as close as possible to zero.
For example, let me short a straddle: it's likely I will have to Delta hedge it more frequently than a short strangle with very wide legs. What's the (unconditional) probability of having to Delta hedge it?
Can the same be said for the implied volatility, that is, if the same short straddle is built in a low volatility environment then the expected frequency of Delta hedging is lower than the high volatility environment?
If we assume that the implied volatility is a good forecast for the realized one, my guess is that the expected frequency of Delta hedging is an increasing function of moneyness and volatility: to put it simply, if I short a straddle on stock $X$ with 80% volatility it's almost sure that I will have to Delta hedge it at least once; on the contrary, if I short a 90/110 strangle on $X$ with 5% volatility, it might happen that I won't need to Delta hedge it before expiration.
I'm not able to help myself with standard Black & Scholes theory because it assumes that one can Delta hedge frictionless, for infinitely small increments, and without transaction costs, while, in reality, things are very different.