Plain ATM straddle Failed

Does simply buying the expiry-day straddle pay? Every expiry day at 09:20, buy the at-the-money call and put of the nearest weekly expiry, 1 lot. No filter: this is the reference every other buying idea has to beat. Exit: Take profit at +50% of the premium paid, stop at −35% (checked on each minute's close, filled at the next open), otherwise out at 15:15.

Over 208 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Plain ATM straddle lost ₹1,78,044 net after brokerage, taxes and slippage: 33% win rate, profit factor 0.60, max drawdown ₹2,01,679. Year 1 −₹85,851, year 2 −₹92,193. Verdict: failed. NIFTY alone: −₹82,005 over 104 trades. SENSEX alone: −₹96,039 over 104 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.

Loses in both years. On expiry days the straddle costs about 0.52% of the index at 09:20, but the index moves only about 0.47% by 15:15. Across both indices the straddle buyer paid more than the market delivered. The realized move beat the price paid on only about a third of expiry days, and the wins were not large enough to make up for the rest.

No. It is a backtest on historical data at target and stop exits, one lot, intraday, and it did not pass the bar MarketCue set for it. Options buying can lose the whole premium paid. MarketCue is not a SEBI-registered investment adviser.