Fixed-distance OTM strangle
This intraday strategy sells a NIFTY strangle a fixed number of points away from the at-the-money strike: by default the call 50 points above and the put 50 points below, which on NIFTY is one strike out on each side. It is entered at 09:20 on the nearest weekly expiry, each leg carries its own 25% stop, and anything left is closed at 15:06.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
Against the textbook view that short strangles want quiet markets, this one earned on trend days. In this test 69 trend days made ₹1,05,308 with an 81% win rate: the leg on the losing side was stopped early for a capped loss, and the other leg decayed for the rest of the day. Choppy days lost ₹87,026 over 66 trades, because a swing one way stopped one leg and the swing back stopped the other. Quiet days, which should suit it, made only ₹3,176 over 108 trades, as the small premium left little to collect. It also did better with NIFTY above its 20-day average (+₹53,852) than below it (-₹32,393).
About this strategy
- At 09:20, find the ATM strike of the nearest NIFTY weekly expiry (Tuesday).
- Sell one lot of the call 50 points above ATM and one lot of the put 50 points below ATM.
- Each leg has its own stop at 25% above its entry premium. If one leg is stopped, the other keeps running.
- Optional variant: once one leg is stopped, move the other leg's stop to its entry price so it cannot turn into a loss.
- Optional day filter: trade only on expiry day and the session before it, instead of every day.
- At 15:06, buy back whatever is still open.
Why traders use it
Moving the strikes slightly away from ATM gives the index a little room on either side before either leg goes in the money, while still collecting a meaningful premium for an intraday trade. Traders who find the ATM straddle too sensitive to small moves often use this as a gentler version. A fixed points distance is easy to compute at 09:20 without any option analytics, which is why rule sets like ATM plus and minus 50 or 100 are common.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strangle traded 245 days and won 58% of them, making ₹20,177 before costs with a profit factor of 1.09. The average loss (₹2,257) was larger than the average win (₹1,808), so the edge came from winning more often. 175 trades reached the time exit and 70 ended on a leg stop. April added ₹24,936, while January and May each lost over ₹12,000. After ₹20 per order and bid-ask slippage the result is a ₹24,538 loss.
What the settings do
Risks
- After one leg is stopped, the other is an unhedged short option until 15:06.
- The backtest fills stops at the trigger price; on a fast move a real stop can fill noticeably worse.
- A fixed 50-point offset ignores the volatility of the day, so the risk taken changes from day to day.
- The pre-cost edge is thin enough that brokerage, spread and STT turn it into a loss.
Who it suits
Intraday option sellers who can manage or automate two legs with separate stops every day, have the margin for a short NIFTY strangle, and accept that the pre-cost edge here is small.
Questions traders ask
What is the difference between this strangle and the 9:20 straddle?
The straddle sells both options at the ATM strike. This strangle sells them one strike away on each side, so it collects less premium but needs a slightly larger move before either leg starts losing. Both use a per-leg stop and close the same day.
Is the fixed-distance OTM strangle profitable?
From 1 Oct 2025 to 30 Sep 2026 on NIFTY it made ₹20,177 before costs, with a ₹31,473 maximum drawdown, but lost ₹24,538 after ₹20 per order and bid-ask slippage. Statutory charges would reduce it further. Past results do not guarantee anything about the future.
Why 50 points from ATM on NIFTY?
NIFTY strikes are 50 points apart, so 50 points is simply one strike out on each side. Some traders use 100 or more for extra room. The drawback of any fixed number is that it means more on a calm day than on a volatile one.
What does moving the stop to cost do?
After one leg is stopped, the other leg's stop is moved to the price it was sold at. If the market then swings back, that leg exits at break-even instead of running to a full loss. It is available here as a setting but is switched off in the default run.