Deep OTM weekly strangle
The deep OTM weekly strangle sells NIFTY options so far from the money that each has only about a 10% delta, and holds them from the session after one weekly expiry to the next. The appeal is a high chance of both expiring worthless. If the combined premium jumps to 1.8 times what was collected, the pair is closed and a fresh 10-delta strangle is sold further out on the same weekly.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
How far NIFTY travelled during the week decided the result. When it stayed within 1% while held, 28 strangles made ₹54,632 and won 86%, since 10-delta strikes rarely come under threat in such weeks. When it rose more than 1%, 17 positions lost ₹28,580, and falls of more than 1% cost ₹6,723 over 26: the combined stop at 1.8 times the credit is reached long before the strike, and the shift re-sells into the same move. Weeks that began with NIFTY above its 20-day average made ₹28,918 over 35 trades, while those starting in a downtrend lost ₹32,512 over 47.
About this strategy
- On the first session of each weekly cycle (usually the day after Tuesday's expiry), at 09:30, take the nearest weekly expiry with at least 3 calendar days to go.
- Sell one lot of the call and one lot of the put whose deltas are closest to 0.10.
- Hold overnight through the week, tracking the combined premium of the pair.
- If the pair's price reaches 1.8 times the credit, buy both back at the first price through that level.
- One minute later, sell a fresh pair at the strikes now closest to 0.10 delta on the same weekly, up to two shifts a week, never on expiry day or after 15:00.
- Otherwise close at 15:15 on expiry day.
Why traders use it
A 10-delta option is roughly one standard deviation away for its time to expiry, so in most weeks the index never gets close. Selling both sides collects a steady weekly premium with little to do except watch the stop. Picking strikes by delta keeps the risk similar whether volatility is high or low. Shifting out after a stop resets the position at a safer distance rather than abandoning the week, which appeals to traders who want to stay in the market.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 the strategy opened 83 positions, including shifts, and won 58%: 48 ran to expiry and 35 hit the combined stop. Ten of 13 calendar months were positive, but the average loss (₹3,941) outweighed the average win (₹2,839), and one trade lost ₹43,219 in February, a month that lost ₹42,672 in all. Net P&L was a ₹1,680 loss before costs and ₹8,995 after ₹20 per order and slippage. Steady weekly income was erased by a few sharp moves.
What the settings do
Risks
- Positions are held over nights and weekends, so a gap can blow straight through the stop, as the ₹43,219 loss shows.
- Shifting out after a stop can sell again into a trend and take a second loss in the same week.
- Deep OTM options collect little premium, so a single bad week can wipe out months of income.
- Naked short options need full margin and carry open-ended risk.
Who it suits
Experienced option sellers with full margin who are comfortable holding naked short options overnight for a week and can accept rare large losses in exchange for frequent small gains.
Questions traders ask
What is a 10-delta strangle?
It is a short strangle where each sold option has a delta of about 0.10, meaning it moves roughly 10 paise for each rupee move in the index. Such options are far out of the money and, by a common rule of thumb, have roughly a 10% chance of finishing in the money.
What does shifting the strangle out mean?
After the stop closes the original pair, the strategy sells a new pair on the same weekly expiry at the strikes now closest to 0.10 delta. Because the index has moved, the new strikes are further away in points, resetting the position at a safer distance.
Is the weekly deep OTM strangle profitable?
In this NIFTY backtest from 1 Oct 2025 to 30 Sep 2026 it lost ₹1,680 before costs and ₹8,995 after ₹20 per order and bid-ask slippage, with a ₹69,059 drawdown before costs. Statutory charges are excluded. Past results do not guarantee future ones.
Why is the entry the day after expiry?
NIFTY weeklies expire on Tuesday, so the session after is the start of a fresh weekly cycle, giving four or five trading sessions of time decay to collect.