Time-based short straddle
The time-based short straddle sells the at-the-money call and put of the nearest NIFTY weekly expiry at a fixed time each morning and closes them before the end of the day. Each leg has its own stop loss. It is one of the most widely traded intraday option-selling setups in India, often called the 9:20 or 9:30 straddle after its entry time.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
The day's shape mattered far more than its size. On 70 trend days, when NIFTY ran one way and closed near its high or low, the strategy made ₹1,17,336 with a 79% win rate: the losing leg was stopped early and the other leg decayed almost to zero. On 66 choppy days, with wide swings that ended mid-range, it lost ₹97,001, because a swing one way stopped one leg and the swing back stopped the other. Quiet sessions were roughly flat (₹882 over 108 trades). It also did better after nervous evenings, earning ₹20,716 when India VIX had closed above 14.5, as richer premiums gave the stops more room.
About this strategy
- Every trading day at 09:20, find the at-the-money strike of the nearest NIFTY weekly expiry.
- Sell one lot of the ATM call and one lot of the ATM put at that strike.
- Watch each leg on its own: if a leg's premium rises 25% above its entry price, buy that leg back.
- The other leg stays open after a stop; there is no re-entry.
- At 15:10, close whatever is still open.
Why traders use it
Most days NIFTY moves less during the session than the straddle's premium prices in, so the time value sold in the morning shrinks by the afternoon. Entering at a fixed time removes guesswork, and stopping each leg separately keeps one sharp move from turning into an open-ended loss. The rules are simple enough to automate, which made it a favourite starting point for algo traders.
The year in plain words
With the default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, the strategy took 246 trades and won 56% of them for ₹19,405 before costs, a profit factor of just 1.07. The average win (₹2,201) was smaller than the average loss (₹2,633), and 69 trades ended with a leg stopped out. Once ₹20 per order and bid-ask slippage are charged, the result turns into a ₹33,527 loss. The year was uneven: April alone made ₹27,461, while January and May each lost over ₹11,000. The thin edge before costs disappears once trading costs are counted.
What the settings do
Risks
- After one leg is stopped, the remaining leg is a naked directional position until the exit time.
- Stops can fill well beyond 25% on fast moves; the backtest's after-costs view charges the spread but not extreme slippage.
- The edge before costs is small, so brokerage, spread and STT decide whether it makes money.
- Selling options needs margin, and the occasional large loss can wipe out weeks of small gains.
Who it suits
Traders who can watch or automate an intraday position every day, have the margin for a short straddle, and can accept long flat stretches. It is a common first strategy for people learning systematic option selling.
Questions traders ask
What is the 9:20 straddle strategy?
It is an intraday short straddle entered at a fixed time, usually 09:20: sell the ATM call and put of the nearest weekly expiry, put a stop loss on each leg, and close everything before the market shuts. The idea is to earn the time decay of a normal day while capping each leg's loss.
Is the time-based short straddle profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹19,405 before costs but lost ₹33,527 after ₹20 per order and bid-ask slippage, with a maximum drawdown of ₹33,575 before costs. Results depend heavily on entry time, stop size and costs, and past results do not guarantee future ones.
Does a short straddle work best on sideways days?
Not in this version. With a 25% stop on each leg, quiet sessions were roughly break-even (₹882 over 108 trades) and choppy days lost ₹97,001, while trend days made ₹1,17,336. The stop turns the straddle into a bet that the day moves one way and stays there.
Why put a stop loss on each leg instead of the whole straddle?
A per-leg stop closes only the side that is being hurt, so the other side keeps decaying in your favour. On a one-way day this limits the loss to one leg. The downside is that after a stop the position becomes directional, and on whipsaw days both legs can be stopped.
Which expiry does this strategy trade?
The nearest NIFTY weekly expiry, which falls on Tuesday. On expiry day itself the options have very little time value left, so the premium collected is small but decays fastest.