Budget-day short straddle
This event strategy trades just one session a year: Union Budget day. Option premiums are usually inflated going into the Budget, and India VIX has a habit of falling as the speech runs, so the idea is to sell that elevated volatility. At 10:15 it sells the at-the-money call and put of the nearest NIFTY weekly expiry, protects each leg with its own stop, and closes everything at 15:25.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
One trade gives no evidence about market conditions. The single Budget day in this test, 1 Feb 2026, was a special session, and the straddle sold at 10:15 lost ₹5,140 before costs: both legs reached their 20% stops within about two hours. That is the typical way a per-leg-stop straddle fails on an event day, when the speech pushes NIFTY one way and then the other, so each side is stopped in turn before the expected fall in volatility can pay. A fair judgement needs many Budget days, which only a much longer history can supply.
The same trades, split by the market conditions around each entry, before costs.About this strategy
- Trade only on the dates listed as Union Budget days, and only if the market holds a session that day.
- At 10:15, sell one lot each of the ATM call and ATM put of the nearest NIFTY weekly expiry.
- Each leg has its own stop: buy it back if its premium rises 20% above its sale price, leaving the other leg open.
- Close whatever is still open at 15:25. There is no target and no re-entry.
- Alternative settings: a combined stop on the whole straddle, or a wait-and-trade entry that sells each leg only after it falls 5% below its 09:20 price.
Why traders use it
Event days are when option sellers expect implied volatility to collapse once the uncertainty is resolved. The Budget is the best-known event on the Indian calendar, and many traders watch the speech and sell premium once the market's first reaction is past. Restricting the trade to one day keeps the idea pure: it tests only whether the Budget-day volatility fall pays for the move that comes with it.
The year in plain words
Only one Budget day, 1 Feb 2026, fell inside the test period from 1 Oct 2025 to 30 Sep 2026. With default settings, the straddle sold at 10:15 was stopped out on both legs and lost ₹5,140 before costs, or ₹5,270 after ₹20 per order and bid-ask slippage. A single trade is a sample of one: it shows how the rules behave on an event day, not whether the idea works over many years.
What the settings do
Risks
- One trade a year means results are dominated by chance for a very long time.
- Budget-day ranges can be large, and a 20% leg stop can be hit on both sides or filled beyond its level.
- The after-costs view does not include statutory charges such as STT on sold premium.
- Selling a naked straddle needs full option-selling margin for a single day's trade.
Who it suits
Option sellers interested in event-day volatility who accept that one trade a year can only be judged over many years of Budgets, and who have margin for a naked ATM straddle.
Questions traders ask
Why sell options on Budget day?
Option premiums tend to be inflated ahead of the Budget because of uncertainty about announcements. Once the speech is under way and the main points are known, implied volatility often falls sharply, an IV crush. Selling the straddle mid-morning tries to earn that fall.
Is the Budget day short straddle profitable?
This test cannot say. Only one Budget day fell between 1 Oct 2025 and 30 Sep 2026, and that trade lost ₹5,140 before costs and ₹5,270 after ₹20 per order and bid-ask slippage. Past results do not guarantee future ones.
What is the wait-and-trade variant?
Instead of selling both legs at a fixed time, it notes each leg's price at 09:20 and sells a leg only once it has fallen 5% below that price. Each leg is sold independently, and a wider 70% stop is commonly paired with it.
Can I test more Budget days?
Yes. Add dates to the “Budget dates” setting and widen the backtest period if the data covers them. Interim budgets in election years can be included in the same list.