Monthly 45-DTE short straddle
This is the well-known 45-days-to-expiry short straddle applied to NIFTY monthly options. It sells the at-the-money call and put about six weeks before expiry, aiming to capture the steady middle part of time decay, and exits by day 21 to avoid the sharp gamma risk of the final weeks. Profit is taken at half the credit, and the stop is a loss equal to the credit.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
Thirteen trades leave every condition below the eight-trade mark, so the splits are indications only. The pattern is the one a short straddle predicts. The 3 trades during which NIFTY stayed within ±1% all won, making ₹47,471, and the 4 entered after India VIX closed above 14.5 made ₹48,961, helped by richer premiums. The 5 trades during which NIFTY fell more than 1% lost ₹1,35,187: a fall lifts the put faster than the call loses value, and with no hedge the loss runs until the stop or the 21-day exit.
About this strategy
- When flat, find the first trading day on which a NIFTY monthly expiry is 42 to 48 calendar days away.
- At 15:00 that day, choose the strike where call and put premiums are closest, comparing the futures price rounded to a strike with the chain's own ATM.
- Sell one lot of the call and one lot of the put at that strike.
- Close if profit reaches 50% of the credit, or if the loss reaches 100% of it.
- Otherwise close at 15:00 on the last trading day with at least 21 days left to expiry.
- Trade each monthly expiry once, then wait for the next one's 45-day window.
Why traders use it
Option-selling research popularised 45 days to expiry as a balance point: enough premium to make the trade worthwhile, while time decay is already speeding up. Exiting at 21 days avoids the final weeks, when gamma makes the position swing wildly with small index moves. Taking 50% of the credit is a common rule that locks in gains early. The rules are simple and need checking only once a day.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy made 13 trades and won 54%, but lost ₹29,776 before costs, a profit factor of 0.81. The 50% target was never reached: eleven trades ended on the scheduled time exit and two on the full-credit stop. Average losses (₹26,428) were larger than average wins (₹18,399). February (−₹52,052) and March (−₹62,813, the largest single loss) drove the result, while June made ₹33,342. The maximum drawdown reached ₹1,14,865. After ₹20 per order and bid-ask slippage the loss was ₹40,391.
What the settings do
Risks
- A naked straddle held for weeks can be hit by large overnight or weekend gaps.
- The stop at 100% of credit can fill well beyond that level on a fast move.
- Options 45 days out on NIFTY trade less actively than the near month, so spreads are wider.
- Only about one trade a month means one bad month can outweigh several good ones.
Who it suits
Positional option sellers with full margin for a naked monthly straddle, who prefer to check positions once a day and can sit through weeks of swings in open profit and loss.
Questions traders ask
Why sell straddles at 45 DTE?
Around 45 days to expiry, options still carry plenty of premium and time decay is starting to accelerate. Gamma, which makes positions swing with small moves, is still moderate. Many option sellers see this as a good balance of income and manageable risk.
Is the 45 DTE short straddle profitable on NIFTY?
Not in this test. From 1 Oct 2025 to 30 Sep 2026 it lost ₹29,776 before costs and ₹40,391 after ₹20 per order and bid-ask slippage (statutory charges not included). With 13 trades the sample is small, and past results do not guarantee future ones.
Why exit at 21 DTE instead of holding to expiry?
In the last three weeks, gamma rises sharply, so a small move in NIFTY can swing the straddle's value a lot. Exiting at 21 days gives up the remaining decay in return for avoiding that period of highest risk.
Which expiry does this strategy use?
NIFTY monthly options, which expire on the last Tuesday of the month. Since a 45-day entry is around six weeks out, the contract traded is usually the monthly after the nearest one.