Pre-expiry regime short
This strategy sells NIFTY weekly options once a week, at 15:00 on the session just before Tuesday's expiry, and holds them through the expiry day. A quick read of the daily chart decides the shape: a quiet, trendless market gets an at-the-money straddle, while a market leaning one way gets a strangle whose closer short strike sits on the side the trend favours.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
The trade lives or dies on the overnight move into expiry. When NIFTY stayed within 1% while the position was held it made ₹87,556 over 37 trades; when it fell more than 1% it lost ₹28,891 over 9, and four trades where it rose more than 1% lost ₹37,353. The entry-day pattern also mattered: entries after a trend day, which closed near its high or low, lost ₹31,606 over 20 trades even with a 65% win rate, because a trend often carried into the next session. Entries after choppy days made ₹59,315 over 8. India VIX made little difference; all three bands were positive. Figures are before costs.
About this strategy
- Trade only on the session immediately before the NIFTY weekly expiry, at 15:00.
- Read the regime from daily futures bars: today's opening gap, RSI(14), the 20-day EMA and ADX(14).
- If the gap is under 0.3%, RSI is between 40 and 60 and ADX is below 20, call it neutral and sell the ATM call and put.
- Otherwise count four votes (gap direction, yesterday's candle colour, RSI above or below 50, close above or below the EMA). A bullish total sells the put 1 strike out and the call 3 strikes out; bearish is the mirror image.
- Stop out if buying both legs back would cost twice the credit received.
- Otherwise hold to the close of the expiry session.
Why traders use it
The last day before expiry is when weekly options lose their remaining time value fastest, so sellers like to be short going into it. A plain straddle is exposed if the market keeps trending, so the regime read tilts the position: the side the market is moving away from is sold close for more premium, and the side it is moving towards is pushed further out. The idea is to collect expiry decay while leaning with the short-term direction.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy made 52 trades and won 63%, for ₹35,348 before costs and ₹29,780 after ₹20 per order and bid-ask slippage. Ten of twelve months were positive, led by April (₹29,584). The weak spot was February: one trade lost ₹60,993 and the month lost ₹61,883, nearly wiping out the year's gains. That pushed the maximum drawdown to ₹76,255 before costs, more than double the final profit. Only 9 trades hit the 2x stop; 43 were held to expiry.
What the settings do
Risks
- Positions are held overnight into expiry, so an opening gap can push the loss far beyond the 2x-credit stop, as the ₹60,993 loss shows.
- Average losses (₹7,750) were larger than average wins (₹5,533), so the win rate has to stay high to stay ahead.
- Short options near expiry have very high gamma, so small index moves change the P&L quickly.
- The regime thresholds and vote rule are simple judgement calls, not tested rules from a long history.
Who it suits
Option sellers with margin for a short straddle or strangle held overnight, who are prepared for the occasional very large loss and want a once-a-week trade with fixed rules rather than daily management.
Questions traders ask
Why sell options the day before expiry?
Weekly options lose most of their remaining time value in the final session. Selling at 15:00 the day before captures that last stretch of decay. The trade-off is overnight risk and high gamma: a large move on expiry day can cost much more than the premium collected.
Is the pre-expiry straddle or strangle strategy profitable?
From 1 Oct 2025 to 30 Sep 2026 on NIFTY it made ₹35,348 before costs and ₹29,780 after ₹20 per order and bid-ask slippage, statutory charges excluded. A single February trade lost ₹60,993, and the drawdown reached ₹76,255. Past results do not guarantee future ones.
What is a skewed strangle?
It is a short strangle whose two strikes are not the same distance from the money. Here the put is sold one strike out and the call three strikes out on a bullish read, so the call side has more room for the expected rise. A bearish read flips it.
When is NIFTY weekly expiry now?
NIFTY weekly options expire on Tuesday, so this strategy usually enters on Monday at 15:00. When Monday is a holiday it enters on the previous trading session instead.