Afternoon short straddle
Instead of selling options in the morning, this strategy waits for the afternoon, when the day's big moves are often done and the remaining time value melts quickly. It sells the at-the-money NIFTY call and put 150 minutes before the close and buys them back 30 minutes before the close. Each leg has its own 30% stop. A second mode sells a far out-of-the-money strangle in the last hour of expiry day.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the afternoon straddle earned on quiet sessions (₹18,889 over 108 trades) and on trend days (₹14,403 over 70), but made only ₹1,589 over 66 choppy days. On a trend day the move is usually largely done by early afternoon, or one leg stops while the other decays to almost nothing; on a choppy day the late swings hit one leg's stop and then reverse against the other. Gap-down mornings lost ₹12,804 over 40 trades, as weak sessions often extended into the afternoon. Gap-up days were the best opening, making ₹25,239 over 38 trades.
About this strategy
- All times are counted back from the session close, so the trade keeps the same distance to the bell now that F&O closes at 15:40 (13:10 entry, 15:10 exit).
- Default 'atm' mode, every trading day: 150 minutes before the close, sell one lot each of the ATM call and put of the nearest NIFTY expiry.
- Each leg is stopped on its own if its premium rises 30% above the sale price; the other leg stays open.
- 30 minutes before the close, buy back whatever is still open. No re-entry.
- Optional 'expiry_strangle' mode, weekly expiry days only: 75 minutes before the close, sell a call and put at least 0.6% of the index away, with a 100% stop per leg, and close 5 minutes before the bell.
- In strangle mode, the day is skipped if the session's range so far is more than 1.2 times the 5-day ATR.
Why traders use it
Morning sessions carry most of the day's news and opening swings. By early afternoon NIFTY has often settled into a range, while ATM options still hold time value that decays fast into the close. Selling then trades a shorter exposure window for a smaller premium, and many traders find it easier to fit around a working day. The '1 pm straddle' and last-hour expiry strangle are both widely discussed among Indian option sellers.
The year in plain words
In the default ATM mode on NIFTY from 1 Oct 2025 to 30 Sep 2026, the strategy sold 246 afternoon straddles and won 66% of them, making ₹38,378 before costs with a profit factor of 1.35. Average losses (about ₹1,325) were larger than average wins (₹902), and 23 trades had a leg stopped. The first half of the year was weak, with February down ₹8,039, while May to September all made money, June the most at ₹14,995. After ₹20 per order and bid-ask slippage the profit fell to just ₹264, effectively breakeven, with a maximum drawdown of ₹38,139. The before-costs edge was real but too thin to survive daily trading costs.
What the settings do
Risks
- After a leg is stopped, the other leg is an unhedged short option until the exit time.
- Afternoon premiums are smaller than morning ones, so brokerage and spread take a large share of the profit.
- Late-session breakouts can move the ATM options sharply in the final hours, when gamma is high.
- Short options need margin, and expiry-day short positions carry extra margin.
Who it suits
Traders who are busy in the morning and want a short, defined daily window for intraday option selling, with margin for a NIFTY straddle. The thin after-costs result calls for close attention to execution costs.
Questions traders ask
What is the 1 pm straddle strategy?
It is a short straddle sold in the early afternoon instead of the morning: sell the ATM call and put, put a stop on each leg, and buy them back shortly before the close. The idea is to skip the volatile morning and collect the fast time decay of the last few hours.
Is the afternoon short straddle profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹38,378 before costs but only ₹264 after ₹20 per order and bid-ask slippage, with statutory charges excluded. That is roughly breakeven over 246 trades. Past results do not guarantee future ones.
Why count entry time from the close?
NSE moved the F&O close from 15:30 to 15:40 on 3 Aug 2026. Counting back from the close keeps the trade the same length relative to the bell, so the default enters at 13:10 and exits at 15:10 under the new timing.
What is the expiry day last hour strangle?
It is the second mode: on NIFTY weekly expiry days only, sell a call and a put at least 0.6% away from the index about 75 minutes before the close, and close 5 minutes before the bell. Volatile days are skipped using an ATR range filter.