Events · round 1 · B4
Event-day straddle Too few trades
Do RBI policy and Budget days move enough to pay for the straddle? Over 28 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Event-day straddle lost ₹34,854 net after brokerage, taxes and slippage: 32% win rate, profit factor 0.57, max drawdown ₹61,631. Year 1 −₹58,027, year 2 +₹23,173. Verdict: too few trades.
The filtered version never traded. Unfiltered it loses overall, with year 1 and year 2 pointing in opposite directions.
NIFTY and SENSEX weekly options · 1 lot, after costs and slippage · data to · page updated
How it trades
- RBI policy-decision days and the two Budget days inside the data window: 14 events.
- Buy the ATM straddle at 09:20. The planned version only bought when the straddle price was below the average move of earlier events; that filter never passed, so it placed no trades. The results shown are the unfiltered version.
- 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) | 28 | 32% | −₹34,854 | −₹1,245 | 0.57 | −₹61,631 | −₹58,027 | +₹23,173 |
| NIFTY · Target and stop (designed) | 14 | 36% | −₹23,836 | −₹1,703 | 0.48 | −₹35,321 | −₹33,160 | +₹9,324 |
| SENSEX · Target and stop (designed) | 14 | 29% | −₹11,018 | −₹787 | 0.69 | −₹27,821 | −₹24,867 | +₹13,849 |
| Both indices · Held to 15:15 (sensitivity) | 28 | 36% | −₹69,576 | −₹2,485 | 0.33 | −₹85,968 | −₹82,364 | +₹12,788 |
| NIFTY · Held to 15:15 (sensitivity) | 14 | 36% | −₹39,966 | −₹2,855 | 0.29 | −₹45,798 | −₹43,637 | +₹3,671 |
| SENSEX · Held to 15:15 (sensitivity) | 14 | 36% | −₹29,610 | −₹2,115 | 0.36 | −₹40,170 | −₹38,727 | +₹9,117 |
Against its control
| Run (both indices) | Trades | Win rate | Net P&L | Per trade | Profit factor | Max drawdown | Year 1 | Year 2 |
|---|---|---|---|---|---|---|---|---|
| Event-day straddle (this strategy) | 28 | 32% | −₹34,854 | −₹1,245 | 0.57 | −₹61,631 | −₹58,027 | +₹23,173 |
| With the cheapness filter | 0 | 0% | ₹0 | ₹0 | — | ₹0 | ₹0 | ₹0 |
| Plain straddle on expiry days | 208 | 33% | −₹1,78,044 | −₹856 | 0.60 | −₹2,01,679 | −₹85,851 | −₹92,193 |
Cumulative P&L
Best trade +₹16,677 (SENSEX, 2026-02-01); worst trade −₹10,668 (NIFTY, 2025-02-01).
What it tells us
Event-day straddles are always priced above the average earlier event move, so a rule that waits for a bargain never fires. With 28 trades across two indices, the swing between a loss in year 1 and a gain in year 2 is not evidence of anything.
- The event calendar was assembled by hand: the 2026 RBI dates come from published schedules and earlier dates from memory, so treat the list as a best effort.
- Election results and global events were not included.
How trades ended
| Exit | Trades | Share | Net P&L |
|---|---|---|---|
| time | 20 | 71% | −₹35,570 |
| stop | 5 | 18% | −₹34,871 |
| target | 3 | 11% | +₹35,587 |
Results by month
| Month | Trades | Win rate | Net P&L |
|---|---|---|---|
| 2024-10 | 2 | 0% | −₹7,361 |
| 2024-12 | 2 | 0% | −₹13,570 |
| 2025-02 | 4 | 0% | −₹32,556 |
| 2025-04 | 2 | 0% | −₹8,144 |
| 2025-06 | 2 | 100% | +₹6,616 |
| 2025-08 | 2 | 0% | −₹3,012 |
| 2025-10 | 2 | 50% | +₹637 |
| 2025-12 | 2 | 100% | +₹134 |
| 2026-02 | 4 | 50% | +₹26,801 |
| 2026-04 | 2 | 0% | −₹5,293 |
| 2026-06 | 2 | 0% | −₹5,301 |
| 2026-08 | 2 | 100% | +₹6,195 |
Every trade (28)
| Date | Index | Exit | Premium | Net P&L |
|---|---|---|---|---|
| 2024-10-09 | NIFTY | time | ₹16,481 | −₹4,588 |
| 2024-10-09 | SENSEX | time | ₹21,035 | −₹2,773 |
| 2024-12-06 | NIFTY | time | ₹30,904 | −₹7,597 |
| 2024-12-06 | SENSEX | stop | ₹16,441 | −₹5,973 |
| 2025-02-01 | NIFTY | stop | ₹29,887 | −₹10,668 |
| 2025-02-01 | SENSEX | stop | ₹25,257 | −₹8,958 |
| 2025-02-07 | NIFTY | time | ₹25,565 | −₹6,150 |
| 2025-02-07 | SENSEX | time | ₹22,254 | −₹6,780 |
| 2025-04-09 | NIFTY | stop | ₹16,627 | −₹6,318 |
| 2025-04-09 | SENSEX | time | ₹34,361 | −₹1,826 |
| 2025-06-06 | NIFTY | time | ₹22,942 | +₹3,968 |
| 2025-06-06 | SENSEX | time | ₹19,189 | +₹2,648 |
| 2025-08-06 | NIFTY | time | ₹11,482 | −₹1,807 |
| 2025-08-06 | SENSEX | time | ₹18,317 | −₹1,205 |
| 2025-10-01 | NIFTY | time | ₹16,487 | +₹3,591 |
| 2025-10-01 | SENSEX | stop | ₹7,976 | −₹2,954 |
| 2025-12-05 | NIFTY | time | ₹13,465 | +₹56 |
| 2025-12-05 | SENSEX | time | ₹17,381 | +₹78 |
| 2026-02-01 | NIFTY | target | ₹25,847 | +₹13,702 |
| 2026-02-01 | SENSEX | target | ₹28,669 | +₹16,677 |
| 2026-02-06 | NIFTY | time | ₹16,328 | −₹2,578 |
| 2026-02-06 | SENSEX | time | ₹20,107 | −₹1,000 |
| 2026-04-08 | NIFTY | time | ₹31,811 | −₹3,308 |
| 2026-04-08 | SENSEX | time | ₹18,855 | −₹1,985 |
| 2026-06-05 | NIFTY | time | ₹20,924 | −₹3,126 |
| 2026-06-05 | SENSEX | time | ₹26,231 | −₹2,175 |
| 2026-08-05 | NIFTY | time | ₹17,241 | +₹987 |
| 2026-08-05 | SENSEX | target | ₹10,836 | +₹5,208 |
Frequently asked questions
What is the Event-day straddle option-buying strategy?
Do RBI policy and Budget days move enough to pay for the straddle? RBI policy-decision days and the two Budget days inside the data window: 14 events. Buy the ATM straddle at 09:20. The planned version only bought when the straddle price was below the average move of earlier events; that filter never passed, so it placed no trades. The results shown are the unfiltered version. 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 Event-day straddle strategy make money on NIFTY and SENSEX?
Over 28 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Event-day straddle lost ₹34,854 net after brokerage, taxes and slippage: 32% win rate, profit factor 0.57, max drawdown ₹61,631. Year 1 −₹58,027, year 2 +₹23,173. Verdict: too few trades. NIFTY alone: −₹23,836 over 14 trades. SENSEX alone: −₹11,018 over 14 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.
What does the backtest of Event-day straddle show?
The filtered version never traded. Unfiltered it loses overall, with year 1 and year 2 pointing in opposite directions. Event-day straddles are always priced above the average earlier event move, so a rule that waits for a bargain never fires. With 28 trades across two indices, the swing between a loss in year 1 and a gain in year 2 is not evidence of anything.
Is Event-day straddle 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.