40% premium strangle
Rather than choosing strikes by points or delta, this intraday strangle chooses them by price. At 10:00 it looks at the at-the-money call and put of the nearest NIFTY weekly and, on each side, sells the out-of-the-money option whose premium is closest to 40% of that ATM premium. Each leg has its own stop at 1.75 times its entry price, and anything left is closed at 15:15.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the strangle lived on quiet days: sessions with a range under 0.75% made ₹72,288 over 108 trades at a 79% win rate, while choppy days lost ₹47,781 over 66 at 39%. The 1.75x stop is wide, so only nine trades stopped all year; on a choppy day the legs inflate without reaching the stop and are bought back at a loss at 15:15. Trend days were only just positive. Expiry days earned ₹22,019 over 51 trades as the last day's decay is fastest. Days after India VIX closed above 14.5 lost ₹10,205, and periods with NIFTY below its 20-day average lost ₹20,194.
About this strategy
- At 10:00, take the ATM call and ATM put prices of the nearest NIFTY weekly expiry.
- On the call side, sell the out-of-the-money call priced closest to 40% of the ATM call. On the put side, do the same against the ATM put. One lot each.
- Each leg is stopped on its own if its premium rises to 1.75 times its sale price; the other leg carries on with its own stop.
- There is no target and no re-entry.
- At 15:15, buy back whatever is still open. One strangle a day, expiry days included.
Why traders use it
Choosing strikes by a share of the ATM premium makes the distance adapt automatically: on volatile days or early in the week the strikes sit further out, and close to expiry they come closer. Many sellers describe 40% of ATM as a balance point where the option still has meaningful premium but needs a real move to be threatened. Wide, independent stops let each side ride out normal noise, and selling only for the session avoids overnight risk.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy sold 246 strangles and won 59% of them, making ₹28,821 before costs with a profit factor of 1.24. Average wins of about ₹1,046 were slightly smaller than average losses of ₹1,194. The wide stop fired only nine times; 237 trades ran to 15:15. Ten of twelve months were positive, led by December at ₹17,208, but March lost ₹16,373. After ₹20 per order and bid-ask slippage the result slipped to a ₹2,257 loss, with a maximum drawdown of ₹33,286. The edge before costs was steady but too small to survive them.
What the settings do
Risks
- Both legs are naked short options, so a sharp move can push a leg well past 1.75 times its price before the stop fills.
- The wide stop rarely fires, so most losing days are absorbed in full until 15:15.
- Expiry-day trades need much more margin per lot than other days.
- A small edge per trade before costs leaves little room for brokerage and spread.
Who it suits
Intraday option sellers with full margin for a naked NIFTY strangle who prefer price-based strike selection and few stop-outs. It suits traders who can accept losing days on choppy sessions and close attention to costs.
Questions traders ask
How do you choose strangle strikes using ATM premium?
Take the price of the at-the-money call and put, multiply each by a ratio such as 0.4, and sell the out-of-the-money option on each side whose price is closest to that figure. The strikes then move further out when volatility is high and closer when it is low.
Is the 40% ATM premium strangle profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹28,821 before costs but lost ₹2,257 after ₹20 per order and bid-ask slippage, with statutory charges excluded. Past results do not guarantee future ones.
Why use a 1.75x stop on each leg?
A leg sold at ₹40 would be stopped at ₹70. That is wide enough to ride out ordinary intraday swings so that a single noisy move does not close the trade. The drawback is that each stop, when it does fire, is a large loss relative to the premium.
Does it trade on expiry day?
Yes, every day including the NIFTY weekly expiry. In this test expiry days were among its best, because the remaining premium decays fastest then, but they also need considerably more margin per lot.