Pre-expiry OI-wall strangle
Large open interest at a strike often acts as a wall that option writers defend into expiry. This strategy uses those walls to place a short strangle. At 15:00 on the session before NIFTY's weekly expiry, it sells the call at the strike with the most call open interest and the put one strike below the strike with the most put open interest, then lets both decay into expiry with a stop at twice the credit.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the strangle needed NIFTY to stay between the open-interest walls overnight and into expiry, and it usually did. The 31 trades during which NIFTY stayed within ±1% made ₹80,494 before costs with an 84% win rate, as both options decayed to almost nothing. The 8 trades during which NIFTY fell more than 1% lost ₹26,322: the put sits only one strike below the put wall, so a fall reaches it quickly and the twice-credit stop fires. Entries after trend days lost ₹10,769 over 18 trades, as the move often continued into expiry, while choppy days made ₹28,492 over 8 trades.
About this strategy
- Trade only on the session just before the NIFTY weekly expiry, usually Monday for a Tuesday expiry.
- At 15:00, find the call strike with the highest open interest (resistance) and the put strike with the highest open interest (support) for that expiry.
- Sell one lot of the call at the resistance strike and one lot of the put one strike below the support strike.
- Skip the day if the call is not above the forward price or the put is not below it.
- Close both legs if buying them back would cost twice the credit received.
- Otherwise hold through the night and into expiry, closing at the expiry session's close.
Why traders use it
Strikes with the heaviest open interest show where writers have committed the most money, and many traders treat them as support and resistance into expiry. Selling at or beyond those walls places the strangle where the biggest participants are betting the market will not go. Entering the afternoon before expiry captures the final, fastest day of decay, including the overnight portion, with a single position.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy made 45 trades, one per weekly expiry where the walls bracketed the price, and won 73% for ₹51,956 before costs, a profit factor of 1.75. Thirty-six trades ran to expiry and nine hit the twice-credit stop. Average losses (₹5,762) were larger than average wins (₹3,670), and February lost ₹15,652, but ten of twelve months were positive. With two legs and one trade a week, costs were modest: after ₹20 per order and bid-ask slippage the result was ₹46,436. The maximum drawdown was ₹30,277.
What the settings do
Risks
- Both legs are naked and held overnight, so a gap can open far beyond the stop level.
- Open-interest walls can shift or break on expiry day as writers cover.
- Expiry settlement moved to a closing auction from 3 Aug 2026, so earlier and later results may not be comparable.
- A single stop-out can wipe out several weeks of gains.
Who it suits
Experienced expiry traders who read open interest, have full margin for a naked strangle, and accept the overnight gap risk of holding into expiry.
Questions traders ask
How do you use open interest to select strikes?
Look at the option chain for the strike with the most call open interest, often treated as resistance, and the strike with the most put open interest, often treated as support. Writers have large positions there and tend to defend them. Selling options at or beyond those strikes places the trade where the market is least expected to go.
Is the pre-expiry OI strangle profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹51,956 before costs and ₹46,436 after ₹20 per order and bid-ask slippage (statutory charges not included), with a ₹30,277 drawdown before costs. Past results do not guarantee future ones.
Why enter the day before expiry rather than on expiry day?
Entering the afternoon before collects the overnight decay and the whole of expiry day's decay in one trade, with more premium than an expiry-morning entry. The cost is carrying a naked position overnight, exposed to gaps.
Why is the put sold one strike below the support?
The strike with the most put open interest is the main support. Selling one strike below it adds a buffer, so the market has to break through the support before the put is threatened.