Straddle with sold wings Failed

Does selling far wings against the straddle cap the cost enough to make it work? Buy the ATM call and put and sell the 1.5% out-of-the-money call and put against them: a long straddle with capped cost and capped profit. 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: Target +50% and stop −35% of the net debit, otherwise out at 15:15.

Over 91 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Straddle with sold wings lost ₹84,311 net after brokerage, taxes and slippage: 30% win rate, profit factor 0.49, max drawdown ₹93,885. Year 1 −₹31,443, year 2 −₹52,868. Verdict: failed. NIFTY alone: −₹53,323 over 45 trades. SENSEX alone: −₹30,988 over 46 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.

Barely cheaper than the plain straddle, and it lost more than the uncapped version. Far-out wings are worth little, so selling them lowered the average premium at risk only from about ₹6.7k to ₹6.4k, while capping the profit on the days the buyer needs a big move. The result is a loss in both years, larger than the same filter without the wings.

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.