Expiry morning range condor
An intraday iron condor for NIFTY weekly expiry day. It lets the first half hour set a range, checks that the day looks neutral, then sells a call and a put just outside that range with wings 100 points further out. The trade books profit once 60% of the credit is captured and is closed by 14:30 regardless.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test, quiet expiry days with a range under 0.75% were the strategy's home ground: all 11 trades won for ₹11,846. Choppy wide-range days were the weakest group with enough trades, yet still made ₹5,996 over 8 trades, because a swing that stays inside the strikes leaves the expiring premium to decay. The 5 trend days, which closed near their high or low, lost ₹4,884 between them; that is too few trades to judge, but it fits the mechanism: a one-way move after 09:45 runs through a short strike, and the bought wing only caps the loss.
About this strategy
- Trade only on the NIFTY weekly expiry day, normally Tuesday.
- Record the high and low of the first 30 minutes, 09:15 to 09:45, adjusted onto the weekly options' price level.
- Skip the day unless it opened inside the previous session's high-low range and the weekly put-call OI ratio is between 0.7 and 1.4.
- At 09:45, sell the call at the rounded range high plus 50 points and the put at the rounded range low minus 50 points.
- Buy a call 100 points above the short call and a put 100 points below the short put; there is no stop, as the wings cap the loss.
- Close everything once the condor has lost 60% of its sold value, or at 14:30.
Why traders use it
Expiry-day options lose their remaining time value very fast, and the first half hour often marks out the day's working range. Selling just beyond that range, on days that opened inside yesterday's range and show balanced put-call positioning, aims to catch the decay on a quiet session. Wings keep the worst loss known in advance, which matters on expiry day when gamma is at its highest.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the filters allowed 25 trades on weekly expiry days, and 20 of them won. The result was ₹14,308 before costs with a profit factor of 3.4; fifteen trades reached the 60% target and ten closed at 14:30. Losses were small because of the wings: the largest was ₹2,555. Costs on four legs took a noticeable share, leaving ₹10,037 after ₹20 per order and bid-ask slippage. Only April and September ended negative. The profit is modest for the margin a condor needs.
What the settings do
Risks
- Expiry-day gamma is very high, so a short strike can go from safe to deep in the money within minutes.
- The profit per trade is small relative to the four-leg costs, so wider spreads would eat much of it.
- Only about half of expiry days pass the filters, so the yearly profit depends on a small number of trades.
- There is no stop inside the wings, so the full width minus the credit can be lost on a trending day.
Who it suits
Traders who are active on expiry days, want a defined-risk position rather than a naked straddle, and are comfortable with small, frequent gains and a capped but larger occasional loss.
Questions traders ask
What is an expiry day iron condor?
It is an iron condor opened and closed on the same day that the options expire. The sold call and put lose value very quickly in the final hours, and the bought wings cap the loss if the index moves through a short strike.
Is the expiry morning range condor profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹14,308 before costs and ₹10,037 after ₹20 per order and bid-ask slippage over 25 trades. Statutory charges are not included, and past results do not guarantee future ones.
Why does it check the put-call ratio?
A PCR between 0.7 and 1.4 is taken as a sign that neither side is heavily positioned, which suits a neutral trade. Very high or very low readings can come before a strong move, so those days are skipped.
Why must the day open inside yesterday's range?
A gap outside the previous session's range often signals a trending day, which is the main danger for a condor. Requiring an open inside that range filters out many of those sessions before a trade is placed.