Straddle with midday re-entry
This is the familiar morning short straddle with a second chance built in. It sells the at-the-money NIFTY call and put at 09:20, gives each leg its own stop, and checks the position at 12:30. If both legs have already been stopped by then, it sells one fresh straddle at the new ATM strike. The idea is that a choppy morning that took out both sides often gives way to a quieter afternoon.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the straddle earned on trend days and lost on choppy ones, the reverse of the usual view of short straddles. Over 80 trend days it made ₹1,15,097 before costs: one leg was stopped early and the other decayed toward zero as the market kept going. Over 87 choppy days it lost ₹1,03,953, because a swing one way and then the other stopped both legs, and the 12:30 re-entry often ran into more of the same. Days after India VIX closed above 14.5 made ₹24,001, while the normal 11.5–14.5 band lost ₹25,025. Entries in an uptrend (₹39,442) beat those in a downtrend (−₹30,128).
About this strategy
- At 09:20, take the at-the-money strike of the nearest NIFTY weekly expiry and sell one lot each of its call and put.
- Give each leg a stop 25% above its own entry premium; a stopped leg is bought back at the stop level while the other leg stays open.
- At 12:30, check whether both legs have been stopped out.
- If both are out, sell a new straddle at whatever strike is ATM at 12:30, with the same per-leg stops. This happens at most once a day.
- If only one leg was stopped, or none, do nothing at 12:30.
- At 15:06, buy back everything still open.
Why traders use it
A double stop-out usually means the market whipsawed in the morning: it ran one way, hit one leg, then turned and hit the other. Many traders find that after such a morning, NIFTY settles down and afternoon premium decays normally. The 12:30 re-entry tries to recover part of the morning's loss from that quieter half of the day, while still capping the extra exposure to a single new straddle with its own stops.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with the default settings, the strategy made 293 trades, re-entries included, and won 55% of them for only ₹7,763 before costs, a profit factor of 1.02. The average loss (₹2,481) was bigger than the average win (₹2,082). Of all trades, 206 ran to the 15:06 exit and 87 ended on a leg stop. April made ₹26,346, while January (−₹12,890) and August (−₹12,672) were the worst months. After ₹20 per order and bid-ask slippage it became a ₹54,413 loss. The extra trades from re-entry added costs without adding a meaningful edge.
What the settings do
Risks
- On a bad day the re-entry can turn two stopped legs into four, roughly doubling the day's loss.
- When only one leg is stopped, the remaining short option is an unhedged directional position until 15:06.
- Stops are modelled as filling at the trigger price; real fills on fast moves can be noticeably worse.
- The edge before costs is close to zero, so trading costs decide the outcome.
Who it suits
Intraday option sellers who already run a morning straddle and want a rule-based way to handle double stop-out days, have margin for two straddles on the same day, and can live with long flat or losing stretches.
Questions traders ask
What is a straddle re-entry after both stop losses hit?
It is a rule for the days when both legs of a short straddle are stopped out early. Instead of stopping for the day, the trader sells one new ATM straddle at a set time, here 12:30, with the same per-leg stops. Only one re-entry is allowed, and it only happens if both original legs have closed by that time.
Is the 09:20 straddle with 12:30 re-entry profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹7,763 before costs, with a maximum drawdown of ₹38,807, and lost ₹54,413 after ₹20 per order and bid-ask slippage (statutory charges not included). Past results do not guarantee future ones.
Why not re-enter when only one leg is stopped?
With one leg stopped, the other leg is still open and already carries a directional view. Selling a fresh straddle on top would stack more risk on the same day. This rule set waits for a clean slate, both legs closed, before taking a new position.
What does moving the other leg's stop to cost do?
Once one leg is stopped, the surviving leg's stop is moved to its own entry price. If the market then turns against it, that leg exits at roughly break-even instead of at its full 25% stop, which limits the loss on reversal days but also cuts short some legs that would have recovered.