There are variations on the initial setup, but they usually begin with a long strangle with the long put and long call at the money and at the same strike, with their respective deltas cancelling each other out. As price moves, the notion is to balance out negative or positive delta experienced by the setup, which can be done intraday, daily, or at certain delta imbalance junctures (-25, -50, etc.) with short calls, short puts, or any other kind of credit-generating setup that yields the appropriate delta to offset the imbalance that has occurred in the initial setup. Those additions are then peeled off in profit to rebalance the setup to delta neutral at opportune times in price movement, so the setup naturally requires some attentiveness.
As with any setup, there are drawbacks. For example, time is not on your side. Options decay over time and the longs lose value immediately after you've bought them, so you have to have enough movement, collect enough credit to overcome this deficit, and be able to bail from the additions profitably. Secondly, lack of movement in the underlying isn't helpful either, since you're looking for movement, delta imbalance, addition to remedy the imbalance, and then peeling off the addition in profit to rebalance.
That being said, the setup will also benefit from a expansion, so the current low environment is a good place to put this one on.
In this particular case, I'm not going to scalp intraday, but examine the setup's net delta on a daily basis to determine whether I should add a position to offset a delta imbalance ... .
So, here's Day 1:
Bought IWM July 15 113 Long Strangle for a $794/contract debit.
Current Net Delta at EOD: 3.54
Naturally, you could try to balance the delta here immediately with a -3.54 delta short call or -3.54 short call spread. Unfortunately, doing that will not be profitable since a -3.54 short call or short credit spread is so far away from current price that you'll hardly get any credit for it, so waiting another day ... .