Cheap-volatility strangle Failed

Is a cheaper out-of-the-money strangle a better way to buy cheap volatility? Buy the call and put about 1% out of the money 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 strangle lost ₹21,457 net after brokerage, taxes and slippage: 22% win rate, profit factor 0.21, max drawdown ₹21,469. Year 1 −₹11,237, year 2 −₹10,220. Verdict: failed. NIFTY alone: −₹13,317 over 45 trades. SENSEX alone: −₹8,140 over 46 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.

Cheap premium, but the win rate collapses: out-of-the-money options almost never reach the target. The premium paid is a small fraction of a straddle, so each loss is small, but so is the chance of a win. Over 91 trades the strategy lost money in both years.

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.