Straddle, stop to cost
This is the classic 09:20 short straddle with one popular tweak. The ATM call and put of the nearest NIFTY weekly expiry are sold at 09:20, each with a 25% stop. When either leg is stopped, the other leg's stop is pulled down to its own entry price, so the surviving leg can no longer turn into a loss. Anything still open is closed at 15:10.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
Trend days paid for everything in this test: 70 of them earned ₹1,19,144 with a 73% win rate. On a one-way day the threatened leg was stopped at 25% early, and the other leg, now with its stop at cost, kept decaying all day without being touched. Choppy days lost ₹55,062 over 66 trades with a 27% win rate, which is exactly the known weakness of the stop-to-cost rule: one leg is stopped on the first swing, then the swing back returns the survivor to its entry price and closes it at zero, leaving only the first loss. Quiet sessions were roughly flat, losing ₹7,024 over 108 trades.
About this strategy
- At 09:20, find the ATM strike of the nearest NIFTY weekly expiry and sell one lot each of the call and put.
- Give each leg a stop 25% above its entry premium (or a fixed number of option points, if set).
- When one leg's stop is hit, buy it back and move the other leg's stop to its own entry price, plus an optional buffer.
- If the surviving leg comes back to its entry price, it is closed at cost.
- Close anything still open at 15:10. No re-entry.
Why traders use it
In a plain per-leg-stop straddle, the worst days are those where one leg is stopped and then the market reverses to stop the other as well. Moving the survivor's stop to cost limits those days to a single leg's loss, while still letting the survivor keep its full decay on a one-way day. It is one of the most common adjustments to the 09:20 straddle among Indian algo traders because it is simple and caps the bad scenario.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy traded 246 days and won 49% of them, making ₹57,025 before costs with a profit factor of 1.27. Average wins (₹2,224) were larger than average losses (₹1,697), helped by the stop-to-cost rule capping bad days. 107 trades ended with the survivor stopped at cost and 139 reached 15:10. April was the best month at ₹24,316 and August the worst at -₹7,085. After ₹20 per order and bid-ask slippage, the profit shrinks to ₹8,009, so most of the edge goes in costs.
What the settings do
Risks
- Before any stop is hit, both legs are unhedged short options.
- Stops fill at the trigger in the backtest; on fast moves real fills can be worse.
- On choppy days the survivor is often closed at cost, so the rule saves the worst case but gives up many recoveries.
- Costs took most of the pre-cost profit, leaving a thin margin for statutory charges.
Who it suits
Intraday option sellers who want a simple, widely used straddle routine with a built-in way to cap two-leg losses, and the margin to sell a NIFTY straddle every day.
Questions traders ask
What does stop loss to cost mean in a straddle?
After one leg hits its stop, the stop on the other leg is moved to that leg's entry price. If the market swings back, the second leg is closed at no loss instead of running to its own full stop.
Is the 9:20 straddle with stop to cost profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹57,025 before costs and ₹8,009 after ₹20 per order and bid-ask slippage, with a ₹20,495 maximum drawdown before costs. Statutory charges are not included. Past results do not guarantee future results.
Why did it win less than half its trades?
Many trades end with one leg stopped and the other closed at cost, which is a small loss. The wins come mostly from trend days where the survivor decays fully, and those wins are larger than the typical loss.
Should the stop be in percent or points?
Percent scales with the premium, so it adapts to volatility; points keep the rupee risk fixed. This strategy offers both through the stop unit setting; the default is 25% of each leg's premium.