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Option selling · intradayIntradayNIFTYmedium complexity

Skew-filtered straddle

This intraday short straddle waits for a balanced pair before selling. From 09:20 it compares the at-the-money call and put prices each minute and sells the straddle only when they are within 10% of each other, a limit that relaxes to 20% towards the end of a 10-minute window. A balanced pair means the index is sitting close to the strike, so the straddle starts close to delta-neutral.

Sells the NIFTY ATM straddle after 09:20 once the call and put premiums are close to each other, with 50% stops on each leg, closing at 15:20.

Market viewNeutral / range-bound

TradesNIFTY weekly options, 2 legs sold

RiskOpen-ended (loss not capped by the structure)

CapitalFull option-selling margin

SuitsIntermediate

Trades a month19

Typical hold6.0 hours

Profitable months7 of 12

Longest losing run5 trades

Made money inQuiet sessions with a range under 0.75%Days after a normal VIX of 11.5-14.5Weekly expiry days

Lost money inChoppy days with a wide rangeDays after India VIX closed above 14.5

Default settings

Symbol

Start time

Skew window min

Max skew %

Threshold skew %

Take trade irrespective

Slm %

Hedge distance

Exit time

Lots

Backtest this strategy →Change any setting, pick your own period and run it in the Quantsapp web app. Backtesting is part of the Max plan. Pro+ members can use it now as a free trial.

How it trades

What it trades

Universe

NIFTY Intraday · 1 Oct 25 → 30 Sep 26

Enters

First minute from 09:20 when call and put differ by 10% or less (relaxing to 20% by 09:30)

Legs

SELL CE · ATM (about 0.5 delta) · Nearest weekly · 1 lotSELL PE · ATM (about 0.5 delta) · Nearest weekly · 1 lot

Exits

stop Each leg on its own: premium 50% above its entry pricetime Everything still open at 15:20

Re-entry

None - one straddle a day

Skew

skew % = |ATM call LTP - ATM put LTP| / the smaller of the two x 100, with the ATM strike re-read at every check.

Entry

from START_TIME, check once a minute for SKEW_WINDOW_MIN minutes. During the first half of the window the skew must be <= MAX_SKEW_PCT; during the second half the limit rises in a straight line from MAX_SKEW_PCT to THRESHOLD_SKEW_PCT at the window's end. At the first check that passes, sell the ATM call and ATM put of the nearest weekly, LOTS each. If the window ends without a pass: sell anyway at the end when TAKE_TRADE_IRRESPECTIVE is True, else no trade that day. HEDGE_DISTANCE > 0 also buys a call and a put that many points out (nearest listed strikes).

Stop

each short leg on its own, SLM_PCT % above its own fill (at the trigger); the other leg rides on.

Exit

everything at EXIT_TIME. Re-entry: none.

Results

PRE-BUILT · DEFAULTS

NIFTY · 2025-10-01 → 2026-09-30 · 228 trades · before costs

Net P&L+₹20,054

Win rate64%

Max drawdown−₹60,014

Avg per trade+₹88

Profit factor1.08

Worst trade−₹12,352

Where it made and lost money

In this test the straddle earned on both quiet and trending days and lost heavily on choppy ones. Quiet sessions made ₹90,551 over 96 trades and trend days ₹46,510 over 65: on a trend day one leg is stopped at 50% while the other decays to almost nothing. Choppy days lost ₹1,16,284 over 66 trades with a 39% win rate, because a wide swing one way stopped one leg and the swing back pushed the other towards its stop. Days after India VIX closed above 14.5 lost ₹41,785 over 67 trades, while normal-VIX days made ₹52,304 over 104. Weekly expiry days added ₹22,850 over 43 trades.

Kind of session on the entry day

Quiet session (range under 0.75%)+₹90,55196 trades76% won

Trend day (closed near the high or low)+₹46,51065 trades71% won

Choppy day (wide range, closed mid-range)−₹1,16,28466 trades39% won

India VIX the evening before

VIX below 11.5 (calm)+₹10,25856 trades62% won

VIX 11.5-14.5 (normal)+₹52,304104 trades71% won

VIX above 14.5 (nervous)−₹41,78567 trades54% won

Day of the week

Monday+₹8,19744 trades75% won

Tuesday+₹37,38439 trades74% won

Wednesday−₹3,35150 trades58% won

Thursday−₹38,15245 trades47% won

Friday+₹11,53648 trades67% won

How the entry day opened

Gap up of 0.4% or more+₹72236 trades61% won

Flat open+₹35,861151 trades68% won

Gap down of 0.4% or more−₹15,80640 trades52% won

Trend going in

Uptrend (NIFTY above its 20-day average)+₹27,769111 trades69% won

Downtrend (NIFTY below its 20-day average)−₹6,992116 trades59% won

Expiry day (NIFTY weekly)

Expiry day+₹22,85043 trades70% won

Other days−₹2,073184 trades62% won

Session direction on the entry day

NIFTY closed above its open+₹9,200114 trades69% won

NIFTY closed below its open+₹11,577113 trades58% won

The same trades, split by the market conditions around each entry, before costs.

About this strategy

From 09:20, once a minute for up to 10 minutes, find the ATM strike of the nearest NIFTY weekly expiry and measure the gap between the call and put prices as a percentage of the cheaper one.
For the first five minutes the gap must be 10% or less. Over the next five minutes the allowed gap rises steadily to 20%.
At the first check that passes, sell one lot each of the ATM call and ATM put.
If no check passes by the end of the window, skip the day (an optional setting sells anyway).
Each leg has its own stop 50% above its entry price; a stopped leg is closed while the other runs on.
Optional wings can be bought a fixed number of points away; by default the straddle is unhedged.
Close everything still open at 15:20.

Why traders use it

When NIFTY sits between two strikes, the 'ATM' call and put have noticeably different prices, and a straddle sold there starts with a directional tilt. Waiting a few minutes for the premiums to even out means the position is centred on the index. Traders who run fixed-time straddles often add this filter to avoid starting the day already leaning one way. The relaxing threshold is a compromise between waiting for perfect balance and missing the trade.

Works best whenQuiet sessions that stay near the balanced strike, and also clean trend days where one leg is stopped and the other decays almost to zero. Normal-VIX days and expiry days were profitable in this test.

Struggles whenChoppy, wide-range days that swing both ways and damage both legs, and nervous days after India VIX closed above 14.5; both groups lost heavily in this test.

The year in plain words

On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the filter allowed 228 trades. The straddle won 64% of them and made ₹20,054 before costs, a profit factor of 1.08. With a wide 50% stop, only 18 trades ended on a leg stop and 210 ran to 15:20, but losses averaged ₹2,879 against ₹1,786 for wins. February made ₹38,329 and March lost ₹35,924, and the drawdown reached ₹60,015. After ₹20 per order and bid-ask slippage the result is a ₹16,149 loss.

What the settings do

Start timeWhen the strategy starts checking the call and put balance.Skew window minHow many minutes it keeps checking before giving up. A longer window trades more days but at later, less consistent times.Max skew %The largest call-put price gap accepted in the first half of the window. A smaller value insists on a tighter balance.Threshold skew %The largest gap accepted by the end of the window. Raising it lets more days through.Take trade irrespectiveWhen on, the straddle is sold at the end of the window even if the premiums never balanced. Off by default, so those days are skipped.Slm %Each leg's stop as a percentage above its entry price. The default 50% is wide, so stops are rare but costly.Hedge distanceIf above zero, buys a call and a put this many points away to cap the risk, turning the straddle into an iron fly.Exit timeWhen any open legs are closed for the day.

Risks

The 50% leg stop allows large losses on a single day; the worst trade lost ₹12,352.
After one leg is stopped, the other is an unhedged short option until 15:20.
The balance is measured on last traded prices, so a stale print can pass the filter.
Results swing heavily from month to month, and costs turn the small pre-cost gain into a loss.

Who it suits

Intraday option sellers who already trade a morning straddle and want to test whether starting from a balanced, centred position helps, with margin for an unhedged NIFTY straddle and tolerance for big single-day losses.

Questions traders ask

What does skew mean in this strategy?

Here skew is simply how far apart the ATM call and put prices are, as a percentage of the cheaper one. A low number means the two premiums are similar and the index is close to the strike. It is not the implied volatility skew across strikes.

Why wait for the call and put prices to match?

If the call is much dearer than the put, the index is above the strike and the straddle is already short delta. Waiting for balance means the position starts closer to neutral, so the first move in either direction affects both legs evenly.

Is the skew-filtered straddle profitable?

In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹20,054 before costs but lost ₹16,149 after ₹20 per order and bid-ask slippage. Statutory charges are not included. Past results do not guarantee future results.

What happens on days when the premiums never balance?

By default the day is skipped. Over the year the strategy traded 228 days, so a handful were skipped. A setting lets you sell the straddle anyway at the end of the 10-minute window.

Terms used here

Straddle ATM (at the money)Delta Premium Per-leg stop loss Weekly expiry Hedge Before costs / after taxes / after all costs Profit factor Max drawdown

Before you rely on it

ADAPTED FOR TODAY'S NSE RULESNIFTY nearest weekly instead of BANKNIFTY weeklies; sized in lots. The 15:20 exit is before the 15:30 / 15:40 close.

WATCH OUTSkew on LTP, not mid: a stale print can pass the filter.

WHERE THE RULES WERE UNCLEAR · OUR CHOICESgetSkew's exact formula is in a utility file not quoted by the spec: |CE - PE| / min(CE, PE) x 100 is the spec's reading. Defaults per the spec: 10% then relaxing to 20% over a 10-minute window, SL 50% per leg, exit 15:20, no hedge. The source retried every 2 seconds; once a minute here (the library's run budget) - a balance that lasts less than a minute can be missed. The merged "breakeven stop / 60% trailing book" variant is not coded.

Also known asskew-matched straddlesignalx straddleShort ATM straddle entered only when CE/PE premiums are within ~15 pts; stop-losses at breakeven strikes; 60% trailing profit-book per leg; 35% target

Backtests run on historical NSE data with fills at the last traded price. "Before costs" excludes brokerage, taxes and slippage. Quantsapp is not recommending any strategy; it is just a backtesting utility. Past results are not a promise of future returns.