Delta-based short strangle
This intraday short strangle picks its strikes by delta rather than by distance or price. At 09:20 it sells the NIFTY weekly call and put whose deltas are closest to 0.15, which places both legs well out of the money. Risk is managed at two levels: each leg has its own 30% stop, and the whole position closes if it is down ₹2,000 or up ₹1,500 per lot. Whatever is left closes at 15:20.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test trend days made ₹18,856 over 70 trades with a 76% win rate and quiet sessions ₹15,456 over 108: on quiet days both far strikes decay, and on trend days the threatened leg is stopped while the other keeps decaying. Choppy days lost ₹16,830 over 66 trades with a 44% win rate, because a swing one way stopped one leg and the swing back threatened the other. Days after India VIX closed above 14.5 made ₹12,327 over 69 trades, as richer premiums gave the far strikes more to decay, while normal-VIX days were roughly flat at ₹327 over 109.
About this strategy
- At 09:20, look at the nearest NIFTY weekly expiry.
- Sell one lot of the call with delta closest to 0.15 and one lot of the put with delta closest to -0.15.
- Stop each leg on its own if its premium rises 30% above its entry price.
- Track the whole position's profit and loss, counting closed and open legs together.
- Close everything if the position is down ₹2,000 per lot or up ₹1,500 per lot.
- Otherwise close whatever is open at 15:20. One trade a day.
Why traders use it
Delta is a rough guide to the chance an option finishes in the money, so a 15-delta strangle sells strikes that the market itself prices as unlikely to be reached that day. Unlike a fixed points distance, delta adjusts automatically to volatility and time to expiry. Adding a rupee stop and target on the whole position gives a clear daily risk budget, which is why delta strangles with MTM limits are a common template on Indian algo platforms.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy traded 246 days, won 62% of them and made ₹18,003 before costs, a profit factor of 1.28. Wins averaged ₹538 and losses ₹691, and the ₹2,000 MTM stop kept the worst day to ₹2,000. Most trades (169) ran to 15:20; 62 ended on a leg stop, 14 hit the ₹1,500 target and 1 hit the combined stop. Ten of 12 months were positive, with April best at ₹7,430. After ₹20 per order and bid-ask slippage it turns into a ₹10,321 loss: the far strikes collect so little premium that costs outweigh the edge.
What the settings do
Risks
- Premiums at 0.15 delta are small, so the profit per trade is thin compared with the ₹20 per order and spread costs.
- After a leg is stopped, the other leg is an unhedged short option until 15:20 or the MTM limit.
- Rupee MTM limits are tied to the lot size and need rescaling if it changes.
- A sharp move can push losses past the MTM stop before it fills; it held the worst day to ₹2,000 in this test, but gaps can exceed it.
Who it suits
Option sellers who prefer to choose strikes by delta, want a fixed daily rupee risk and target, and have margin for an unhedged NIFTY strangle, while accepting that the edge in this test did not survive trading costs.
Questions traders ask
What is a 15 delta strangle?
It sells a call and a put whose deltas are about 0.15, meaning each option moves about 15 paise for every rupee move in the index. Such strikes are well out of the money, so they need a sizeable move against them before the position is hurt.
Is the delta strangle profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹18,003 before costs but lost ₹10,321 after ₹20 per order and bid-ask slippage (statutory charges excluded), with a ₹6,692 maximum drawdown before costs. Past results do not guarantee future ones.
What is an MTM stop loss?
MTM means mark-to-market: the running profit or loss of the whole position, counting closed legs and the current value of open ones. An MTM stop closes everything when that total loss reaches a set rupee amount, here ₹2,000 per lot.
Why use both a leg stop and an MTM stop?
The leg stop deals with one side being threatened while letting the other keep decaying. The MTM stop caps the day's total loss if both legs go wrong or the surviving leg also moves against you.