Expiry-day stacking straddle
This strategy trades only on NIFTY's weekly expiry day, when options have hours left and time value melts fast. At 09:30 it sells the ATM straddle with protective wings 500 points away. Instead of closing and re-centring when NIFTY moves, it adds another hedged straddle at the new ATM every time the index moves a set step, building a ladder of short straddles along the day's path. Each short leg has its own stop.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
Every condition was profitable in this test, but the size of the gain varied a lot. Quiet expiry sessions earned ₹90,670 over 18 trades with an 83% win rate, as the zero-day options collapsed with little movement. Days after a normal India VIX between 11.5 and 14.5 made ₹1,30,107 over 25 trades, while days after a VIX below 11.5 made only ₹8,241 over 12, because thin premiums left little to collect. Choppy days were the weakest at ₹18,964 over 17 trades: swings back and forth added straddles at several strikes and triggered leg stops, and re-sold legs paid the spread again. Trend days still made ₹53,271 over 16 trades.
About this strategy
- Trade only on the day the nearest NIFTY weekly expiry has zero days left, normally Tuesday.
- Set the step size from yesterday's India VIX close: 50 points if below 14, otherwise 100 points.
- At 09:30, sell one lot each of the ATM call and put of the expiring weekly, and buy a call 500 points above and a put 500 points below as hedges.
- Check every minute until 15:10. When ATM is a full step away from every strike already sold, sell another hedged straddle there, up to six in total.
- Each short leg is stopped at 2.25 times its sale price. A stopped leg is sold again once its price falls back to the original sale price, if still above ₹5.
- At 15:17, close everything except short legs worth ₹5 or less, which are left to expire worthless.
Why traders use it
On expiry day, at-the-money options lose value faster than on any other day, so sellers try to collect that last burst of decay. Adding straddles as the index moves keeps a short position near the money all day rather than leaving one stranded far away. The wings cap each straddle's worst case and cut the margin needed, which matters on expiry day when extra margin applies to short options. Zero-day expiry selling is one of the most discussed strategies among Indian options traders.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026, the strategy traded 52 expiry days and won 69% of them, making ₹1,70,091 before costs with a profit factor of 3.04. Average wins (₹7,041) were larger than average losses (₹5,211), and the maximum drawdown was ₹14,568. February was the strongest month at ₹54,818, July added ₹37,195, and only three months lost money, none by more than ₹6,535. After ₹20 per order and bid-ask slippage on many legs, the profit is ₹1,17,681. Fills on expiry-day options at last traded prices may still be optimistic.
What the settings do
Risks
- Stacking up to six straddles on a trending day multiplies the short exposure; each straddle is hedged, but the total worst case grows with every addition.
- Expiry-day options can jump many times in value within minutes, so stops can fill well above 2.25 times the sale price.
- The backtest fills at last traded prices; real expiry-day spreads in the final hour can be wider.
- Many legs mean many orders, and costs took about a third of the pre-cost profit.
Who it suits
Experienced option sellers who are present or fully automated on expiry day, can manage many legs at once, and have margin for several hedged NIFTY straddles.
Questions traders ask
What is a 0DTE straddle?
It is a straddle sold on the day its options expire, with zero days to expiry. The options have only hours of time value left, so it decays very quickly, but small moves in the index can also change prices sharply.
How is this different from a rolling straddle?
A rolling straddle closes the old position and opens a new one at the new ATM. This strategy keeps the old straddles and adds new ones, so by the end of a moving day it can hold several straddles at different strikes, each with its own hedges.
Is the expiry-day stacking straddle profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹1,70,091 before costs and ₹1,17,681 after ₹20 per order and bid-ask slippage, with a ₹14,568 maximum drawdown before costs. Statutory charges are excluded. Past results do not guarantee future results.
Why buy hedges 500 points away?
The far call and put cap how much each straddle can lose on a big move and reduce the margin needed for the short options, which is higher on expiry day. They cost part of the credit, but they turn each straddle into a defined-risk iron fly.