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For focus, let us restrict the scope of this to vanilla options-based positions/strategies.

In a lot of the accounts that I've seen of those that engage in this sort of investment/trading strategy (Nassim Taleb, among others), from my view, the entry conditions seem relatively apparent, e.g., potentially, one either constantly holds an open position in very deep out-of-the-money short maturity options on, for example, a market index or uses some sort of model to identify when said options are underpriced and purchases accordingly.

What is left more ambiguous (and I realize that this is potentially due to this being proprietary/a source of their profits/etc.) is how one determines exits from these positions. I've seen mention of a somewhat heuristic/discretionary method of observing when your position increases greatly in value/an event that would possibly causes this occurs and then liquidating half of your position as quickly as possible, but I'm wanting to know if there is a more quantitative approach?

I've looked around and haven't really found much on this and am looking for references on either this explicitly or what sort of field/area of knowledge this may fall into? I know fields like Extreme Value Theory address things similar to this, but I'm not sure this would exactly without account for time dependencies, etc. Would there potentially be a non-probabilistic approach to this?

Apologies if this question is still not focused enough and any input/referencs is greatly appreciated, thanks.

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