Straddle-width strangle
The price of the at-the-money straddle is the option market's own estimate of how far NIFTY might move before expiry. This intraday strangle uses it to set its strikes. At 09:20 it adds the ATM call and put prices, then sells a call and a put half that amount away from the ATM strike. On calm days the strikes sit close; on volatile days they spread out automatically.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the strangle made ₹61,737 over 108 quiet sessions and ₹21,881 over 70 trend days, but lost ₹84,187 over 66 choppy days with only a 33% win rate. On a quiet day both legs decay; on a trend day one side may stop but the other side loses its value. A choppy day lifts both legs in turn without always reaching the 50% stop, so the strangle closes with losses on both sides. Days after India VIX closed above 14.5 lost ₹24,039 over 69 trades, as wider strikes still were not wide enough for the swings. Gap-down openings lost ₹22,492 over 40 trades.
About this strategy
- At 09:20, read the nearest NIFTY weekly chain and add the ATM call and ATM put prices to get the straddle price S.
- Sell one lot of the call at the listed strike nearest ATM + 0.5 x S, and one lot of the put nearest ATM - 0.5 x S. If either rounds onto the ATM strike, it is moved one strike further out.
- Each leg has its own stop: if its premium rises 50% above the sale price, that leg is bought back.
- Optionally, once one leg is stopped, the other leg's stop moves to its entry price (off by default).
- Close whatever is open at 15:15. No re-entry.
Why traders use it
Fixed-distance strangles are too tight when volatility is high and too far when it is low. Tying the distance to the straddle price lets implied volatility decide the width, so the strangle sits about where the market itself sees the likely range. Nothing is bought, so all the premium is kept if NIFTY stays between the strikes, and the per-leg stops cap how much one side can lose. It is a simple, self-adjusting alternative to picking strikes by points or delta.
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 56% of them, but lost ₹3,054 before costs (profit factor 0.98). After ₹20 per order and bid-ask slippage the loss grew to ₹44,821. March alone lost ₹28,211. The breakdown shows where the damage came from: quiet sessions made ₹61,737 and trend days ₹21,881, but choppy days with a wide range and a mid-range close lost ₹84,187 at a 33% win rate. Days after an India VIX close above 14.5 lost ₹24,039, and Thursdays lost ₹16,264. Only 28 trades had a leg stopped.
What the settings do
Risks
- Both legs are naked short options, so a sharp move can push one leg well past its 50% stop before it fills.
- After one leg is stopped, the other is an unhedged directional short until 15:15 unless the move-to-cost option is on.
- On expiry day the straddle price is small, so the strikes crowd towards the money.
- The edge before costs was negative, and costs of four orders a day added about ₹42,000 of losses.
Who it suits
Intraday option sellers with margin for a naked NIFTY strangle who want strike distances that adapt to volatility. It fits traders willing to add their own filters, such as VIX, to avoid the choppy days that hurt it.
Questions traders ask
What is a straddle-width strangle?
It is a short strangle whose strikes are placed a multiple of the ATM straddle price away from the money. Because the straddle price reflects the market's expected move, the strangle widens automatically when volatility is high and narrows when it is low.
Is the straddle-width strangle profitable?
Not in this backtest. On NIFTY from 1 Oct 2025 to 30 Sep 2026 it lost ₹3,054 before costs and ₹44,821 after ₹20 per order and bid-ask slippage, with statutory charges excluded. It did well on quiet days but lost heavily on choppy ones. Past results do not guarantee future ones.
How is the strike distance calculated?
At 09:20 the ATM call and put prices are added. With the default K of 0.5, if the straddle costs 200 points, the call is sold about 100 points above ATM and the put about 100 points below, at the nearest listed strikes.
What does moving the other leg to cost do?
When “Other to cost” is on and one leg hits its stop, the surviving leg's stop is moved to its sale price. That leg can then still make money if the market stays away, but it can no longer turn into a second loss.