US CPI/FOMC night straddle
US inflation figures and US Federal Reserve rate decisions are released after the Indian market closes, and NIFTY often opens with a gap the next morning. This event strategy buys an at-the-money NIFTY straddle just before the close on those evenings and sells it shortly after the next open, aiming to profit from the size of the overnight gap, whichever way it goes.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
With 19 event nights, the buckets are small, but they line up with how a bought straddle works. Nights entered with India VIX above 14.5 made ₹22,588 over 6 trades, when markets were already jumpy and the US data moved NIFTY enough overnight. In the normal 11.5-14.5 band the strategy lost ₹13,152 over 10 trades, as the opening gap was too small to cover overnight decay and the drop in implied volatility after the news. Entries on sessions that closed above their open made ₹12,370 over 10 trades. Figures are before costs.
About this strategy
- Keep a list of US CPI release dates and US Fed decision dates; both arrive after the NSE close.
- On the NSE session before each event night (or the last session before it, around Indian holidays), at 15:25, buy one lot each of the ATM call and ATM put.
- Use the nearest NIFTY expiry that does not expire on the next session, so the straddle is not held into an expiry morning.
- Hold overnight with no stop or target.
- Sell both legs at 09:30 on the next session, after the opening gap has formed.
Why traders use it
Global macro news moves Indian markets through the overnight session, and the gap appears at the open before most traders can react. A long straddle is a direct way to bet on a large move without guessing direction, and the risk is limited to the premium paid. Because the events are scheduled, the trade is easy to plan and repeat about 19 times a year.
The year in plain words
With default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, the strategy traded 19 event nights and won 37% of them, making ₹9,206 before costs and ₹7,168 after ₹20 per order and bid-ask slippage. Wins averaged ₹3,861 and losses ₹1,620, the expected pattern for bought options. Almost all the profit came from March (₹9,354) and April (₹13,569); seven of the eleven months traded were negative, including September (₹5,740 lost). With so few events, two good months decided the year.
What the settings do
Risks
- Implied volatility often drops once the news is out, cutting the straddle's value even after a gap.
- Overnight time decay is paid on every trade, whether or not NIFTY moves.
- With about 19 trades a year, two strong months can make or break the result.
- The event date lists must be maintained by hand; a missing date means a missed trade.
Who it suits
Option buyers who follow global macro events, want a small number of planned trades with risk limited to the premium, and can accept that most nights lose a little.
Questions traders ask
How does US CPI affect NIFTY?
US inflation data shifts expectations for US interest rates, which moves global equities, bond yields and the rupee. Because it is released after the Indian close, the reaction shows up as a gap at the next NIFTY open.
Is the US event straddle profitable?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it made ₹9,206 before costs and ₹7,168 after ₹20 per order and bid-ask slippage, over 19 trades. Most of the profit came in March and April. Past results do not guarantee future ones.
Why sell at 09:30 instead of holding longer?
The trade targets the overnight gap. Holding longer exposes the straddle to more time decay and to the gap fading during the day. The exit time can be changed to 09:16 or 10:00.
Why not use the expiring weekly option?
If the next session is an expiry day, the nearest weekly would expire that morning and lose almost all time value overnight. The strategy picks the next expiry instead.