Premium-matched strangle
Instead of choosing strikes by distance from the index, this intraday short strangle chooses them by price. At 09:25 it sells the cheapest out-of-the-money NIFTY call and put that are each worth at least ₹55, on the nearest weekly expiry. Each leg has its own 25% stop, and anything still open is closed at 15:15. The result is a strangle that automatically sits wider on volatile days and tighter on calm ones.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
As with other short strangles using per-leg stops, the money came from trend days rather than quiet ones. In this test 55 trend days earned ₹48,132 with an 82% win rate: the leg under pressure was stopped for a limited loss and the opposite leg decayed all day. 55 choppy days lost ₹30,963, because moves in both directions stopped both legs. Quiet days were roughly flat, losing ₹2,084 over 84 trades, as there was little decay to collect after costs of holding two legs. Trades with NIFTY above its 20-day average made ₹24,916, while those below it lost ₹9,832.
About this strategy
- At 09:25, look at the nearest NIFTY weekly expiry and consider only out-of-the-money options that have a live two-sided quote.
- On the call side, pick the cheapest call trading at ₹55 or more; on the put side, the cheapest put at ₹55 or more.
- If either side has no OTM option worth ₹55, skip the day. This mostly happens on expiry day, when premiums are low.
- Sell one lot of each. Each leg has a stop at 25% above its own entry premium.
- A stopped leg is bought back while the other leg continues. There is no re-entry.
- At 15:15, close any leg still open.
Why traders use it
Picking strikes by premium rather than points keeps the amount of risk sold roughly constant from day to day. When volatility is high, a ₹55 option sits further from the index; when it is low, it sits closer. Both legs also start with similar premiums, so the position is balanced from the start. Rules such as 'sell the strangle closest to ₹50' are popular because they are easy to apply from the option chain without any Greeks.
The year in plain words
With default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, the strategy traded on 195 days, skipping roughly one in five when no OTM option was worth ₹55. It won 57% of trades and made ₹13,170 before costs, a profit factor of 1.10. Average loss (₹1,512) exceeded average win (₹1,238). 140 trades reached the time exit and 55 ended on a leg stop. December and April each added over ₹10,000, while January lost ₹8,908. After ₹20 per order and bid-ask slippage the result is a ₹14,295 loss.
What the settings do
Risks
- After one leg is stopped, the other leg is an unhedged short option until 15:15.
- Stops are filled at the trigger price in the backtest; real fills on fast moves can be worse.
- The pre-cost edge is small, so trading costs are enough to make it a losing strategy.
- Short options need margin, and losses on bad days were larger on average than gains on good days.
Who it suits
Intraday option sellers who like strike selection driven by the option chain rather than by index points, can monitor or automate two legs with separate stops, and have the margin for a NIFTY short strangle.
Questions traders ask
What is a premium-based strangle?
It is a short strangle where the strikes are chosen by their price rather than their distance from the index. Here both the call and the put are the cheapest out-of-the-money options worth at least ₹55, so the two legs start with similar premiums.
Is the ₹55 premium strangle profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹13,170 before costs, with a ₹20,993 maximum drawdown, but lost ₹14,295 after ₹20 per order and bid-ask slippage. Statutory charges are not included. Past results do not guarantee future ones.
Why are some days skipped?
If no out-of-the-money call or put is worth ₹55 or more, the rule cannot be met. That is most common on the weekly expiry day, Tuesday for NIFTY, when even the nearest OTM options are cheap. About one day in five was skipped.
Why only out-of-the-money options with a live quote?
An in-the-money option or a far strike with an old last price can also appear to trade near ₹55. Restricting candidates to OTM strikes with both a bid and an ask avoids building the strangle on stale or misleading prices.