Expiry close straddle buy
A very short trade on NIFTY weekly expiry day. Ten minutes before the session closes, it buys the ATM call and put of the expiring contract, hoping the closing minutes bring a sharp move as the settlement price is set. It sells both if the straddle doubles in value, and otherwise gets out two minutes before the close. The most it can lose is the small premium paid.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
The sums involved are small because expiring options are cheap in the last minutes, but the pattern is clear in this test. Quiet expiry days with a range under 0.75% lost ₹1,226 over 18 trades and won only 17%: nothing happened in the final minutes and the straddle lost its last bit of time value. Choppy days lost ₹1,084 over 17. Trend days that closed near the high or low were the only positive group, at ₹414 over 16 trades, because a late push in the day's direction made one leg jump. Expiry days in an uptrend, with NIFTY above its 20-day average, lost ₹2,402 over 27 trades.
About this strategy
- Trade only on the NIFTY weekly expiry day, normally Tuesday.
- Ten minutes before the session close, buy one lot each of the ATM call and ATM put of the expiring weekly.
- There is no stop; the premium paid is the maximum loss.
- Sell both legs together if the straddle becomes worth twice what was paid.
- Otherwise sell both legs two minutes before the close.
- Times are counted back from the session's own close, so they moved from 15:20 and 15:28 to 15:30 and 15:38 when the F&O close moved to 15:40.
Why traders use it
On expiry day the ATM options are almost pure bets on the last few points of movement, so they cost very little. Traders noticed that the final minutes can bring sudden swings as positions are squared off and the settlement price forms, and a straddle profits from a jump in either direction. The appeal is a tiny, fixed risk for a chance at a quick multiple of the cost.
The year in plain words
With default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, the strategy bought 52 expiry-day straddles and won 33%, losing ₹2,069 before costs (profit factor 0.56). The amounts are tiny: the average win was ₹155 and the average loss ₹138. The double-the-cost target was never hit; every trade ended at the pre-close exit. March was the best month at ₹1,065. Trading costs are large relative to such small premiums, so after ₹20 per order and bid-ask slippage the loss rose to ₹6,655 and the win rate fell to 15%.
What the settings do
Risks
- Costs and the bid-ask spread on last-minute expiry options are large compared with the premium, as the after-costs result shows.
- Expiring options are thin in the final minutes, so real fills may be worse than the last traded prices used here.
- The settlement mechanism changed in August 2026, so results before and after that date test different market structures.
- A low win rate means long runs of small losses; the longest losing streak was 8 trades.
Who it suits
Traders curious about expiry-day closing behaviour who want a fixed, very small risk per trade. The after-costs result shows that execution quality matters more than the signal for this idea.
Questions traders ask
What is the expiry day closing straddle?
It buys the ATM call and put of the expiring NIFTY weekly a few minutes before the close, betting that the settlement period brings a sharp move. Both legs are sold at a set profit multiple or just before the bell.
Is buying a straddle before expiry close profitable?
Not in this backtest. From 1 Oct 2025 to 30 Sep 2026 it lost ₹2,069 before costs and ₹6,655 after ₹20 per order and bid-ask slippage, with statutory charges extra. The target was never hit. Past results do not guarantee future ones.
Did the 15:40 close change this strategy?
Yes. Before 3 Aug 2026 the close was 15:30, so the trade ran from 15:20 to 15:28. After the change the times follow the new close, 15:30 to 15:38, and the index close now comes from a closing auction, so the two periods should be read separately.
What is the maximum loss per trade?
The premium paid for the straddle, since both options are bought and there is no stop. On expiry day, ten minutes before the close, that premium is usually small, which is why the losses here averaged ₹138 per trade before costs.