Gap-day straddle Failed

When the market opens with a gap, does the movement continue enough to pay for a straddle? Every trading day, nearest expiry: when the 09:15 open differs from the previous close by at least 0.5%, buy the ATM straddle at 09:30. Control: the same straddle at 09:30 on all the other (small-gap) days. 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 176 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Gap-day straddle lost ₹52,500 net after brokerage, taxes and slippage: 38% win rate, profit factor 0.81, max drawdown ₹92,140. Year 1 +₹2,502, year 2 −₹55,002. Verdict: failed. NIFTY alone: −₹34,435 over 85 trades. SENSEX alone: −₹18,065 over 91 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.

Gap days are about ₹180 a trade better than ordinary days, but still lose in year 2. A gap does carry information: the same straddle loses far more on days without one. But the option market reprices after a gap, so the straddle is already more expensive and the buyer still comes out behind.

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.