Volatility timing · round 1 · B3
Low-volatility regime Failed
Does buying a straddle when volatility is in its bottom fifth pay? Over 253 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Low-volatility regime lost ₹49,601 net after brokerage, taxes and slippage: 37% win rate, profit factor 0.83, max drawdown ₹1,13,281. Year 1 +₹8,521, year 2 −₹58,122. Verdict: failed.
Roughly break-even if held to 15:15, but the profit came in year 1 and was given back in year 2.
NIFTY and SENSEX weekly options · 1 lot, after costs and slippage · data to · page updated
Net P&L−₹49,601both indices, target and stop
Win rate37%253 trades
Profit factor0.83gross wins ÷ gross losses
Per trade−₹196average, after costs
Max drawdown−₹1,13,281peak to trough
Premium at risk₹10,229average net debit per trade
How it trades
- Every trading day, nearest expiry: buy the ATM straddle at 09:20 when the implied daily move is in the lowest 20% of the last 60 days.
- Implied daily move = straddle price as a percentage of spot, divided by the square root of the trading days left. There is no VIX history in the data, so this is a VIX proxy.
- 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.
Did it pass the bar?
- ✗ Profit in year 2
- ✗ Profit factor above 1.3
- ✓ At least 40 trades
- ✓ Beats its baseline per trade
- ✗ Profit in all four index and year cells
A strategy has to clear every line. Year 1 ends 2025-09-30; year 2 is the unseen test.
Results by index and exit rule
| Run | Trades | Win rate | Net P&L | Per trade | Profit factor | Max drawdown | Year 1 | Year 2 |
|---|---|---|---|---|---|---|---|---|
| Both indices · Target and stop (designed) | 253 | 37% | −₹49,601 | −₹196 | 0.83 | −₹1,13,281 | +₹8,521 | −₹58,122 |
| NIFTY · Target and stop (designed) | 122 | 36% | −₹35,307 | −₹289 | 0.77 | −₹64,986 | +₹11,830 | −₹47,137 |
| SENSEX · Target and stop (designed) | 131 | 37% | −₹14,294 | −₹109 | 0.90 | −₹50,199 | −₹3,309 | −₹10,985 |
| Both indices · Held to 15:15 (sensitivity) | 253 | 36% | +₹6,083 | +₹24 | 1.02 | −₹98,366 | +₹44,625 | −₹38,542 |
| NIFTY · Held to 15:15 (sensitivity) | 122 | 36% | +₹1,728 | +₹14 | 1.01 | −₹46,231 | +₹19,010 | −₹17,282 |
| SENSEX · Held to 15:15 (sensitivity) | 131 | 35% | +₹4,355 | +₹33 | 1.02 | −₹54,039 | +₹25,615 | −₹21,260 |
Against its control
| Run (both indices) | Trades | Win rate | Net P&L | Per trade | Profit factor | Max drawdown | Year 1 | Year 2 |
|---|---|---|---|---|---|---|---|---|
| Low-volatility regime (this strategy) | 253 | 37% | −₹49,601 | −₹196 | 0.83 | −₹1,13,281 | +₹8,521 | −₹58,122 |
| Plain straddle (baseline) | 208 | 33% | −₹1,78,044 | −₹856 | 0.60 | −₹2,01,679 | −₹85,851 | −₹92,193 |
Cumulative P&L
Best trade +₹7,213 (NIFTY, 2024-11-12); worst trade −₹4,373 (SENSEX, 2025-03-10).
What it tells us
With the target and stop it loses. Held with no target or stop it is almost exactly flat over 253 trades, with a profit in year 1 and a loss of similar size in year 2, which looks like noise rather than an edge.
- A proxy, not India VIX itself: the result could differ with real VIX history.
How trades ended
| Exit | Trades | Share | Net P&L |
|---|---|---|---|
| time | 148 | 58% | −₹32,931 |
| stop | 66 | 26% | −₹1,72,005 |
| target | 39 | 15% | +₹1,55,335 |
Results by month
| Month | Trades | Win rate | Net P&L |
|---|---|---|---|
| 2024-11 | 1 | 100% | +₹7,213 |
| 2024-12 | 3 | 67% | +₹3,625 |
| 2025-01 | 7 | 43% | −₹2,090 |
| 2025-02 | 7 | 29% | +₹3,366 |
| 2025-03 | 17 | 76% | +₹25,801 |
| 2025-04 | 9 | 67% | +₹9,646 |
| 2025-05 | 4 | 25% | −₹2,748 |
| 2025-06 | 15 | 47% | +₹13,843 |
| 2025-07 | 31 | 26% | −₹26,460 |
| 2025-08 | 11 | 36% | −₹8,971 |
| 2025-09 | 27 | 22% | −₹14,704 |
| 2025-10 | 4 | 100% | +₹11,503 |
| 2025-11 | 3 | 33% | −₹1,793 |
| 2025-12 | 18 | 39% | −₹7,327 |
| 2026-01 | 12 | 50% | +₹2,834 |
| 2026-02 | 2 | 50% | +₹424 |
| 2026-04 | 4 | 25% | −₹5,468 |
| 2026-05 | 7 | 29% | −₹4,266 |
| 2026-06 | 24 | 29% | −₹10,753 |
| 2026-07 | 22 | 5% | −₹33,169 |
| 2026-08 | 22 | 45% | −₹7,363 |
| 2026-09 | 3 | 0% | −₹2,744 |
Every trade (253)
| Date | Index | Exit | Premium | Net P&L |
|---|---|---|---|---|
| 2024-11-12 | NIFTY | target | ₹14,336 | +₹7,213 |
| 2024-12-12 | NIFTY | target | ₹5,262 | +₹2,596 |
| 2024-12-12 | SENSEX | time | ₹11,319 | −₹491 |
| 2024-12-30 | NIFTY | time | ₹16,766 | +₹1,520 |
| 2025-01-09 | NIFTY | stop | ₹6,747 | −₹2,720 |
| 2025-01-14 | SENSEX | stop | ₹7,999 | −₹3,163 |
| 2025-01-15 | NIFTY | time | ₹10,074 | −₹3,157 |
| 2025-01-16 | NIFTY | stop | ₹5,467 | −₹2,188 |
| 2025-01-16 | SENSEX | time | ₹17,695 | +₹1,268 |
| 2025-01-21 | SENSEX | target | ₹8,797 | +₹4,890 |
| 2025-01-23 | NIFTY | target | ₹6,243 | +₹2,980 |
| 2025-02-04 | NIFTY | target | ₹12,717 | +₹6,109 |
| 2025-02-04 | SENSEX | target | ₹7,153 | +₹3,652 |
| 2025-02-05 | NIFTY | time | ₹11,440 | −₹713 |
| 2025-02-06 | NIFTY | time | ₹7,719 | −₹1,021 |
| 2025-02-25 | SENSEX | stop | ₹7,553 | −₹2,822 |
| 2025-02-27 | NIFTY | time | ₹4,166 | −₹1,098 |
| 2025-02-27 | SENSEX | time | ₹15,794 | −₹741 |
| 2025-03-03 | SENSEX | time | ₹12,030 | +₹17 |
| 2025-03-04 | NIFTY | time | ₹13,169 | +₹46 |
| 2025-03-04 | SENSEX | stop | ₹7,214 | −₹2,691 |
| 2025-03-05 | NIFTY | target | ₹10,754 | +₹5,318 |
| 2025-03-05 | SENSEX | time | ₹19,022 | +₹3,215 |
| 2025-03-06 | NIFTY | target | ₹6,460 | +₹2,894 |
| 2025-03-06 | SENSEX | time | ₹17,026 | +₹864 |
| 2025-03-10 | SENSEX | stop | ₹12,041 | −₹4,373 |
| 2025-03-11 | SENSEX | time | ₹7,626 | +₹265 |
| 2025-03-13 | NIFTY | stop | ₹6,230 | −₹2,540 |
| 2025-03-17 | SENSEX | time | ₹10,146 | −₹1,154 |
| 2025-03-20 | NIFTY | target | ₹6,724 | +₹3,366 |
| 2025-03-20 | SENSEX | time | ₹16,397 | +₹2,222 |
| 2025-03-21 | NIFTY | time | ₹17,739 | +₹1,726 |
| 2025-03-21 | SENSEX | target | ₹13,871 | +₹6,897 |
| 2025-03-24 | NIFTY | time | ₹16,062 | +₹4,198 |
| 2025-03-24 | SENSEX | target | ₹11,232 | +₹5,531 |
| 2025-04-01 | SENSEX | target | ₹7,781 | +₹4,611 |
| 2025-04-03 | NIFTY | stop | ₹7,355 | −₹2,849 |
| 2025-04-16 | NIFTY | time | ₹8,704 | +₹2,375 |
| 2025-04-17 | NIFTY | target | ₹6,172 | +₹2,814 |
| 2025-04-23 | NIFTY | time | ₹10,875 | −₹2,958 |
| 2025-04-24 | NIFTY | target | ₹5,834 | +₹2,832 |
| 2025-04-29 | NIFTY | time | ₹10,770 | +₹185 |
| 2025-04-29 | SENSEX | target | ₹7,673 | +₹4,628 |
| 2025-04-30 | NIFTY | stop | ₹4,875 | −₹1,992 |
| 2025-05-06 | NIFTY | time | ₹12,301 | −₹1,747 |
| 2025-05-06 | SENSEX | stop | ₹6,487 | −₹2,436 |
| 2025-05-08 | NIFTY | stop | ₹4,553 | −₹1,956 |
| 2025-05-20 | SENSEX | target | ₹7,190 | +₹3,391 |
| 2025-06-05 | NIFTY | target | ₹7,300 | +₹3,683 |
| 2025-06-10 | SENSEX | stop | ₹8,325 | −₹3,256 |
| 2025-06-11 | NIFTY | time | ₹10,589 | −₹1,367 |
| 2025-06-11 | SENSEX | time | ₹20,096 | −₹626 |
| 2025-06-12 | NIFTY | target | ₹6,903 | +₹3,261 |
| 2025-06-12 | SENSEX | time | ₹17,785 | +₹5,100 |
| 2025-06-19 | NIFTY | stop | ₹7,410 | −₹2,909 |
| 2025-06-20 | SENSEX | time | ₹16,181 | +₹5,852 |
| 2025-06-23 | SENSEX | time | ₹12,704 | −₹1,335 |
| 2025-06-24 | SENSEX | target | ₹7,741 | +₹4,017 |
| 2025-06-25 | SENSEX | time | ₹21,523 | −₹692 |
| 2025-06-26 | NIFTY | target | ₹7,270 | +₹3,874 |
| 2025-06-26 | SENSEX | time | ₹19,095 | +₹3,265 |
| 2025-06-27 | SENSEX | time | ₹16,288 | −₹2,968 |
| 2025-06-30 | SENSEX | time | ₹12,827 | −₹2,056 |
| 2025-07-02 | NIFTY | time | ₹10,585 | +₹1,904 |
| 2025-07-02 | SENSEX | time | ₹19,015 | +₹589 |
| 2025-07-03 | NIFTY | stop | ₹6,776 | −₹2,804 |
| 2025-07-03 | SENSEX | time | ₹16,712 | −₹242 |
| 2025-07-04 | SENSEX | time | ₹14,964 | −₹2,469 |
| 2025-07-07 | SENSEX | time | ₹10,991 | −₹2,203 |
| 2025-07-08 | SENSEX | stop | ₹7,470 | −₹2,794 |
| 2025-07-09 | NIFTY | time | ₹9,854 | −₹1,651 |
| 2025-07-09 | SENSEX | time | ₹17,623 | −₹829 |
| 2025-07-10 | NIFTY | stop | ₹6,117 | −₹2,436 |
| 2025-07-10 | SENSEX | time | ₹15,041 | −₹967 |
| 2025-07-11 | SENSEX | time | ₹12,265 | −₹204 |
| 2025-07-14 | SENSEX | time | ₹9,746 | −₹1,748 |
| 2025-07-15 | NIFTY | time | ₹12,279 | −₹2,159 |
| 2025-07-15 | SENSEX | stop | ₹6,086 | −₹2,291 |
| 2025-07-16 | NIFTY | time | ₹8,541 | −₹880 |
| 2025-07-16 | SENSEX | time | ₹16,134 | −₹903 |
| 2025-07-17 | NIFTY | stop | ₹5,450 | −₹2,149 |
| 2025-07-17 | SENSEX | time | ₹14,073 | −₹532 |
| 2025-07-18 | SENSEX | time | ₹12,729 | −₹22 |
| 2025-07-21 | NIFTY | time | ₹14,355 | +₹593 |
| 2025-07-21 | SENSEX | time | ₹9,554 | +₹350 |
| 2025-07-22 | NIFTY | time | ₹11,086 | −₹1,420 |
| 2025-07-22 | SENSEX | stop | ₹6,063 | −₹2,301 |
| 2025-07-23 | NIFTY | time | ₹8,011 | −₹385 |
| 2025-07-23 | SENSEX | time | ₹14,185 | +₹1,145 |
| 2025-07-24 | NIFTY | target | ₹4,904 | +₹2,340 |
| 2025-07-24 | SENSEX | time | ₹12,562 | +₹508 |
| 2025-07-25 | SENSEX | time | ₹12,125 | −₹196 |
| 2025-07-28 | SENSEX | time | ₹9,682 | +₹9 |
| 2025-07-30 | NIFTY | time | ₹9,692 | −₹2,313 |
| 2025-08-05 | SENSEX | stop | ₹6,808 | −₹2,577 |
| 2025-08-12 | NIFTY | time | ₹12,123 | −₹864 |
| 2025-08-12 | SENSEX | target | ₹6,123 | +₹2,957 |
| 2025-08-14 | NIFTY | stop | ₹6,650 | −₹2,570 |
| 2025-08-19 | SENSEX | stop | ₹6,567 | −₹2,509 |
| 2025-08-20 | NIFTY | time | ₹9,328 | +₹132 |
| 2025-08-21 | NIFTY | stop | ₹5,928 | −₹2,329 |
| 2025-08-22 | SENSEX | time | ₹11,958 | +₹1,033 |
| 2025-08-25 | SENSEX | time | ₹9,539 | −₹2,423 |
| 2025-08-26 | NIFTY | time | ₹9,532 | +₹2,461 |
| 2025-08-26 | SENSEX | stop | ₹5,857 | −₹2,282 |
| 2025-09-02 | NIFTY | target | ₹5,489 | +₹2,823 |
| 2025-09-02 | SENSEX | time | ₹11,056 | −₹240 |
| 2025-09-04 | SENSEX | stop | ₹6,821 | −₹2,695 |
| 2025-09-05 | NIFTY | target | ₹11,232 | +₹5,376 |
| 2025-09-05 | SENSEX | time | ₹14,469 | +₹482 |
| 2025-09-08 | NIFTY | time | ₹9,025 | −₹2,195 |
| 2025-09-08 | SENSEX | time | ₹13,302 | −₹1,294 |
| 2025-09-09 | NIFTY | stop | ₹6,052 | −₹2,397 |
| 2025-09-09 | SENSEX | time | ₹10,935 | −₹1,025 |
| 2025-09-10 | SENSEX | time | ₹8,830 | −₹1,622 |
| 2025-09-11 | SENSEX | stop | ₹6,101 | −₹2,315 |
| 2025-09-12 | NIFTY | time | ₹10,959 | −₹303 |
| 2025-09-12 | SENSEX | time | ₹14,507 | +₹314 |
| 2025-09-15 | NIFTY | time | ₹8,106 | −₹2,274 |
| 2025-09-15 | SENSEX | time | ₹12,555 | −₹878 |
| 2025-09-16 | NIFTY | target | ₹4,986 | +₹2,635 |
| 2025-09-16 | SENSEX | time | ₹10,908 | +₹2,857 |
| 2025-09-17 | SENSEX | time | ₹8,717 | −₹469 |
| 2025-09-18 | NIFTY | time | ₹12,045 | −₹1,129 |
| 2025-09-18 | SENSEX | stop | ₹5,159 | −₹1,944 |
| 2025-09-19 | NIFTY | time | ₹9,477 | −₹459 |
| 2025-09-19 | SENSEX | time | ₹13,592 | −₹295 |
| 2025-09-22 | NIFTY | time | ₹8,041 | −₹1,135 |
| 2025-09-22 | SENSEX | time | ₹12,084 | −₹14 |
| 2025-09-23 | NIFTY | stop | ₹5,694 | −₹2,357 |
| 2025-09-24 | SENSEX | time | ₹8,624 | −₹1,854 |
| 2025-09-25 | SENSEX | stop | ₹6,042 | −₹2,297 |
| 2025-10-06 | NIFTY | target | ₹8,015 | +₹3,918 |
| 2025-10-06 | SENSEX | time | ₹11,922 | +₹4,224 |
| 2025-10-08 | SENSEX | time | ₹8,688 | +₹299 |
| 2025-10-16 | SENSEX | target | ₹6,249 | +₹3,062 |
| 2025-11-13 | SENSEX | target | ₹6,145 | +₹2,982 |
| 2025-11-20 | SENSEX | stop | ₹6,396 | −₹2,470 |
| 2025-11-27 | SENSEX | stop | ₹6,098 | −₹2,305 |
| 2025-12-02 | NIFTY | time | ₹6,633 | +₹977 |
| 2025-12-04 | SENSEX | target | ₹5,879 | +₹2,846 |
| 2025-12-08 | NIFTY | target | ₹9,458 | +₹4,990 |
| 2025-12-16 | NIFTY | stop | ₹6,637 | −₹2,651 |
| 2025-12-18 | SENSEX | stop | ₹6,043 | −₹2,484 |
| 2025-12-22 | NIFTY | time | ₹8,840 | −₹1,435 |
| 2025-12-23 | NIFTY | stop | ₹6,133 | −₹2,517 |
| 2025-12-23 | SENSEX | time | ₹9,144 | −₹2,546 |
| 2025-12-24 | NIFTY | time | ₹13,816 | −₹2,808 |
| 2025-12-24 | SENSEX | stop | ₹5,635 | −₹2,119 |
| 2025-12-26 | NIFTY | time | ₹10,231 | −₹467 |
| 2025-12-26 | SENSEX | time | ₹14,142 | −₹1,106 |
| 2025-12-29 | NIFTY | time | ₹7,430 | +₹904 |
| 2025-12-29 | SENSEX | time | ₹11,459 | +₹429 |
| 2025-12-30 | NIFTY | stop | ₹5,090 | −₹2,016 |
| 2025-12-30 | SENSEX | time | ₹10,133 | −₹1,109 |
| 2025-12-31 | NIFTY | time | ₹14,297 | +₹2,057 |
| 2025-12-31 | SENSEX | time | ₹7,438 | +₹1,728 |
| 2026-01-01 | NIFTY | time | ₹12,136 | −₹1,812 |
| 2026-01-01 | SENSEX | stop | ₹5,039 | −₹1,961 |
| 2026-01-02 | NIFTY | time | ₹9,373 | +₹1,865 |
| 2026-01-02 | SENSEX | time | ₹12,731 | +₹2,592 |
| 2026-01-05 | NIFTY | time | ₹8,197 | +₹1,305 |
| 2026-01-05 | SENSEX | time | ₹11,447 | +₹1,360 |
| 2026-01-06 | NIFTY | stop | ₹5,719 | −₹2,295 |
| 2026-01-06 | SENSEX | time | ₹10,902 | −₹2,087 |
| 2026-01-07 | NIFTY | time | ₹13,556 | −₹1,340 |
| 2026-01-07 | SENSEX | time | ₹7,679 | −₹1,386 |
| 2026-01-08 | NIFTY | time | ₹11,963 | +₹3,768 |
| 2026-01-08 | SENSEX | target | ₹5,227 | +₹2,825 |
| 2026-02-12 | SENSEX | stop | ₹5,984 | −₹2,273 |
| 2026-02-19 | SENSEX | target | ₹5,539 | +₹2,697 |
| 2026-04-21 | NIFTY | stop | ₹8,980 | −₹3,454 |
| 2026-04-23 | SENSEX | stop | ₹8,097 | −₹3,105 |
| 2026-04-28 | NIFTY | stop | ₹7,683 | −₹3,052 |
| 2026-04-30 | SENSEX | target | ₹7,608 | +₹4,143 |
| 2026-05-12 | NIFTY | target | ₹8,629 | +₹3,972 |
| 2026-05-19 | NIFTY | stop | ₹9,168 | −₹3,516 |
| 2026-05-25 | NIFTY | time | ₹14,300 | −₹2,182 |
| 2026-05-26 | NIFTY | stop | ₹7,537 | −₹2,890 |
| 2026-05-26 | SENSEX | time | ₹13,147 | −₹1,085 |
| 2026-05-27 | SENSEX | stop | ₹7,529 | −₹2,825 |
| 2026-05-29 | NIFTY | time | ₹18,034 | +₹4,260 |
| 2026-06-01 | NIFTY | time | ₹14,216 | +₹2,939 |
| 2026-06-02 | NIFTY | stop | ₹7,998 | −₹3,072 |
| 2026-06-04 | SENSEX | stop | ₹9,861 | −₹3,696 |
| 2026-06-09 | NIFTY | stop | ₹7,638 | −₹3,098 |
| 2026-06-11 | SENSEX | target | ₹7,735 | +₹4,826 |
| 2026-06-12 | NIFTY | time | ₹17,829 | +₹3,225 |
| 2026-06-15 | NIFTY | time | ₹13,244 | −₹866 |
| 2026-06-15 | SENSEX | time | ₹19,623 | −₹221 |
| 2026-06-16 | NIFTY | stop | ₹7,088 | −₹2,723 |
| 2026-06-16 | SENSEX | time | ₹15,627 | −₹2,094 |
| 2026-06-17 | NIFTY | time | ₹21,252 | −₹1,799 |
| 2026-06-17 | SENSEX | time | ₹12,254 | −₹1,098 |
| 2026-06-18 | NIFTY | time | ₹17,391 | −₹2,217 |
| 2026-06-18 | SENSEX | stop | ₹6,645 | −₹2,635 |
| 2026-06-19 | NIFTY | time | ₹15,551 | −₹2,554 |
| 2026-06-22 | NIFTY | time | ₹11,057 | −₹2,867 |
| 2026-06-22 | SENSEX | time | ₹16,588 | −₹2,032 |
| 2026-06-23 | NIFTY | stop | ₹5,662 | −₹2,254 |
| 2026-06-23 | SENSEX | time | ₹12,791 | +₹5,725 |
| 2026-06-24 | SENSEX | target | ₹12,195 | +₹6,058 |
| 2026-06-25 | NIFTY | time | ₹15,269 | −₹1,836 |
| 2026-06-25 | SENSEX | target | ₹6,057 | +₹3,274 |
| 2026-06-29 | NIFTY | time | ₹11,313 | +₹1,403 |
| 2026-06-30 | NIFTY | stop | ₹8,193 | −₹3,141 |
| 2026-07-02 | NIFTY | time | ₹17,001 | −₹1,674 |
| 2026-07-02 | SENSEX | stop | ₹6,778 | −₹2,725 |
| 2026-07-03 | NIFTY | time | ₹13,822 | −₹2,398 |
| 2026-07-03 | SENSEX | time | ₹19,251 | −₹2,474 |
| 2026-07-06 | NIFTY | time | ₹9,617 | −₹1,229 |
| 2026-07-06 | SENSEX | time | ₹14,343 | −₹927 |
| 2026-07-07 | NIFTY | stop | ₹5,948 | −₹2,351 |
| 2026-07-07 | SENSEX | time | ₹12,236 | −₹912 |
| 2026-07-08 | SENSEX | target | ₹11,267 | +₹6,084 |
| 2026-07-09 | SENSEX | stop | ₹8,143 | −₹3,032 |
| 2026-07-14 | NIFTY | stop | ₹8,050 | −₹3,105 |
| 2026-07-16 | SENSEX | stop | ₹6,749 | −₹2,554 |
| 2026-07-21 | NIFTY | stop | ₹6,393 | −₹2,511 |
| 2026-07-23 | SENSEX | stop | ₹6,482 | −₹2,437 |
| 2026-07-27 | NIFTY | time | ₹11,024 | −₹589 |
| 2026-07-28 | NIFTY | stop | ₹5,831 | −₹2,315 |
| 2026-07-28 | SENSEX | time | ₹13,393 | −₹1,274 |
| 2026-07-29 | NIFTY | time | ₹17,764 | −₹783 |
| 2026-07-29 | SENSEX | time | ₹10,173 | −₹825 |
| 2026-07-30 | NIFTY | time | ₹15,717 | −₹1,328 |
| 2026-07-30 | SENSEX | stop | ₹6,383 | −₹2,394 |
| 2026-07-31 | NIFTY | time | ₹12,730 | −₹1,416 |
| 2026-08-03 | NIFTY | time | ₹8,605 | −₹924 |
| 2026-08-03 | SENSEX | time | ₹14,520 | −₹806 |
| 2026-08-04 | NIFTY | target | ₹6,263 | +₹2,970 |
| 2026-08-04 | SENSEX | time | ₹12,733 | +₹1,903 |
| 2026-08-05 | NIFTY | time | ₹17,241 | +₹987 |
| 2026-08-13 | NIFTY | time | ₹15,168 | −₹1,164 |
| 2026-08-13 | SENSEX | stop | ₹7,080 | −₹2,703 |
| 2026-08-14 | NIFTY | time | ₹12,886 | −₹216 |
| 2026-08-17 | NIFTY | time | ₹8,606 | +₹13 |
| 2026-08-17 | SENSEX | time | ₹13,708 | +₹483 |
| 2026-08-18 | NIFTY | stop | ₹5,340 | −₹2,172 |
| 2026-08-18 | SENSEX | time | ₹11,683 | −₹1,270 |
| 2026-08-19 | SENSEX | time | ₹9,230 | −₹1,436 |
| 2026-08-20 | NIFTY | time | ₹13,244 | +₹76 |
| 2026-08-20 | SENSEX | stop | ₹5,005 | −₹1,998 |
| 2026-08-21 | NIFTY | time | ₹11,427 | −₹976 |
| 2026-08-24 | NIFTY | time | ₹8,236 | +₹1,211 |
| 2026-08-24 | SENSEX | time | ₹13,292 | +₹462 |
| 2026-08-25 | NIFTY | stop | ₹5,532 | −₹2,214 |
| 2026-08-25 | SENSEX | time | ₹11,804 | +₹1,910 |
| 2026-08-26 | SENSEX | time | ₹8,710 | −₹1,709 |
| 2026-08-27 | SENSEX | time | ₹5,426 | +₹210 |
| 2026-09-01 | NIFTY | time | ₹5,733 | −₹920 |
| 2026-09-03 | SENSEX | time | ₹6,249 | −₹994 |
| 2026-09-08 | NIFTY | time | ₹6,367 | −₹830 |
Frequently asked questions
What is the Low-volatility regime option-buying strategy?
Does buying a straddle when volatility is in its bottom fifth pay? Every trading day, nearest expiry: buy the ATM straddle at 09:20 when the implied daily move is in the lowest 20% of the last 60 days. Implied daily move = straddle price as a percentage of spot, divided by the square root of the trading days left. There is no VIX history in the data, so this is a VIX proxy. 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.
Did the Low-volatility regime strategy make money on NIFTY and SENSEX?
Over 253 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Low-volatility regime lost ₹49,601 net after brokerage, taxes and slippage: 37% win rate, profit factor 0.83, max drawdown ₹1,13,281. Year 1 +₹8,521, year 2 −₹58,122. Verdict: failed. NIFTY alone: −₹35,307 over 122 trades. SENSEX alone: −₹14,294 over 131 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.
What does the backtest of Low-volatility regime show?
Roughly break-even if held to 15:15, but the profit came in year 1 and was given back in year 2. With the target and stop it loses. Held with no target or stop it is almost exactly flat over 253 trades, with a profit in year 1 and a loss of similar size in year 2, which looks like noise rather than an edge.
Is Low-volatility regime a recommendation to trade?
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.
Backtest on historical data, not a live track record and not advice. Options trading can lose the whole premium paid. MarketCue is not a SEBI-registered investment adviser. See the disclaimer.