Cheap-volatility straddle Failed

If I only buy when options look cheap against recent movement, does the straddle pay? Same entry as the plain straddle: ATM call and put at 09:20 on expiry days. Only when the mean absolute 09:20 to 15:15 move of the last 20 expiry days is at least today's straddle price as a percentage of spot, so realized movement has recently beaten what the option charges. The first 20 expiries are skipped. 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 91 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Cheap-volatility straddle lost ₹72,996 net after brokerage, taxes and slippage: 30% win rate, profit factor 0.55, max drawdown ₹88,637. Year 1 −₹22,411, year 2 −₹50,585. Verdict: failed. NIFTY alone: −₹44,834 over 45 trades. SENSEX alone: −₹28,162 over 46 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.

The filter does not turn the straddle profitable: it loses in both years and year 2 is worse. Fewer than half of expiry days pass the filter, and the loss per trade improves when the trades are held to 15:15 with no target or stop, but it stays negative.

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.