Expiry day · NIFTY · intraday

NIFTY ATM Straddle Expiry Day Passed both years

Passed both years. The same straddle on expiry day only: profitable in both years, and the strongest intraday piece next to the expiry-day strangle. +₹61,972 net over 104 trades (2024-10-03 to 2026-09-29, 65 quantity), 69% win rate, max drawdown −₹12,671, 15.6% a year on ₹2,00,000 capital, after all costs and slippage.

Data to · page updated

Net P&L+₹61,972both years
Return / year15.6%on ₹2,00,000 capital
Win rate69%104 trades
Profit factor1.57gross wins ÷ gross losses
Max drawdown−₹12,671peak to trough
Worst day−₹6,795best +₹14,840

Payoff

Net credit₹7,605one position, 65 qty
Max profit₹7,605at expiry
Max lossUnlimitedwithout the stop
Breakeven24,883 / 25,117NIFTY at expiry

Illustrated with NIFTY at 25,000: sell 25000 CE at ₹60.5, sell 25000 PE at ₹56.5. Shown for expiry day (Tuesday), where the profit comes from: ATM call ₹60.5 + put ₹56.5 at 09:18. Each leg also exits alone at +40%.

On expiry3 h before expiryRule exitsBreakeven

Shown for expiry day (Tuesday), where the profit comes from: ATM call ₹60.5 + put ₹56.5 at 09:18. Each leg also exits alone at +40%. Dashed lines: Stop = MTM stop (-₹6,000); Tgt = MTM target (+₹15,000). Max loss is unlimited: the loss keeps growing past the chart edge. Illustrated with NIFTY at 25,000, 65 qty, before charges.

How it trades

  • Day: NIFTY weekly expiry day only (Tuesday; Thursday before Sep 2025); one trade.
  • Entry: 09:18: sell the ATM call and the ATM put (ATM = spot rounded to the nearest 50), at that minute's open price.
  • Per-leg stop: each leg exits on its own when its price is 40% above its entry; the other leg keeps running.
  • Group: exit everything at MTM +₹15,000 or −₹6,000 (closed legs + open legs).
  • Lock & Trail: off in this run.
  • Exit: anything still open is closed at 14:45.
  • Size: 65 qty (1 lot) per leg. Costs: brokerage, STT, exchange, SEBI, stamp, GST and 0.5 point slippage per fill; every exit fills at the next minute's open.

Year 1 vs year 2

PeriodTradesNet P&LReturn (₹2,00,000)Win rateProfit factorMax drawdownWorst day
Year 1 (to 2025-09-30)52+₹35,16417.6%65%1.55−₹11,440−₹6,795
Year 2 (test)52+₹26,80813.4%73%1.61−₹12,671−₹6,452
Both years104+₹61,97231.0%69%1.57−₹12,671−₹6,795

Cumulative P&L

The cumulative P&L ends at +₹61,972 after 104 trades. Its high was +₹67,811 (2026-03-17); the deepest fall from a high was −₹12,671, from 2026-03-17 to 2026-03-30. Best day: +₹14,840 (2026-02-03); worst day: −₹6,795 (2025-02-13).

104 trading daysEnd +₹61,972Peak +₹67,811Max drawdown -₹12,671

P&L by quarter

QuarterJan–MarApr–JunJul–SepOct–Dec
Net P&L+₹13,445+₹11,530+₹5,713+₹31,284

Every trade

104 trades
DateExitNet P&L
2024-10-03expiry day−₹5,817
2024-10-10expiry day+₹6,494
2024-10-17expiry day+₹3,064
2024-10-24expiry day+₹2,480
2024-10-31expiry day+₹1,515
2024-11-07expiry day+₹754
2024-11-14expiry day+₹6,911
2024-11-21expiry day+₹9,452
2024-11-28expiry day+₹3,567
2024-12-05expiry day−₹6,120
2024-12-12expiry day−₹3,330
2024-12-19expiry day+₹8,285
2025-01-02expiry day+₹3,043
2025-01-09expiry day−₹2,137
2025-01-16expiry day+₹240
2025-01-23expiry day−₹1,021
2025-01-30expiry day+₹2,189
2025-02-06expiry day+₹547
2025-02-13expiry day−₹6,795
2025-02-20expiry day+₹5,454
2025-02-27expiry day+₹646
2025-03-06expiry day−₹3,741
2025-03-13expiry day−₹2,814
2025-03-20expiry day+₹1,168
2025-03-27expiry day+₹719
2025-04-03expiry day+₹1,800
2025-04-09expiry day+₹13,770
2025-04-17expiry day−₹4,795
2025-04-24expiry day−₹1,533
2025-04-30expiry day+₹35
2025-05-08expiry day+₹690
2025-05-15expiry day−₹5,273
2025-05-22expiry day+₹2,845
2025-05-29expiry day+₹4,005
2025-06-05expiry day+₹1,697
2025-06-12expiry day−₹3,334
2025-06-19expiry day−₹3,463
2025-06-26expiry day+₹1,512
2025-07-03expiry day−₹3,826
2025-07-10expiry day+₹818
2025-07-17expiry day+₹1,980
2025-07-24expiry day+₹1,795
2025-07-31expiry day+₹2,085
2025-08-07expiry day−₹631
2025-08-14expiry day+₹1,314
2025-08-21expiry day+₹1,553
2025-08-28expiry day−₹3,509
2025-09-02expiry day−₹2,774
2025-09-09expiry day+₹3,770
2025-09-16expiry day+₹1,565
2025-09-23expiry day−₹3,441
2025-09-30expiry day+₹1,756
2025-10-07expiry day+₹1,107
2025-10-14expiry day+₹1,187
2025-10-20expiry day+₹2,600
2025-10-28expiry day+₹2,932
2025-11-04expiry day+₹2,345
2025-11-11expiry day−₹3,655
2025-11-18expiry day+₹734
2025-11-25expiry day+₹796
2025-12-02expiry day+₹875
2025-12-09expiry day−₹3,626
2025-12-16expiry day+₹374
2025-12-23expiry day+₹1,146
2025-12-30expiry day−₹2,786
2026-01-06expiry day+₹3,127
2026-01-13expiry day+₹1,983
2026-01-20expiry day+₹425
2026-01-27expiry day+₹718
2026-02-03expiry day+₹14,840
2026-02-10expiry day+₹186
2026-02-17expiry day+₹1,483
2026-02-24expiry day+₹1,945
2026-03-02expiry day+₹789
2026-03-10expiry day−₹528
2026-03-17expiry day+₹3,650
2026-03-24expiry day−₹6,452
2026-03-30expiry day−₹6,219
2026-04-07expiry day+₹3,884
2026-04-13expiry day+₹1,259
2026-04-21expiry day+₹2,364
2026-04-28expiry day−₹3,473
2026-05-05expiry day+₹428
2026-05-12expiry day+₹2,874
2026-05-19expiry day+₹983
2026-05-26expiry day−₹3,867
2026-06-02expiry day+₹1,676
2026-06-09expiry day−₹636
2026-06-16expiry day+₹1,007
2026-06-23expiry day−₹4,078
2026-06-30expiry day+₹1,153
2026-07-07expiry day−₹3,009
2026-07-14expiry day+₹1,962
2026-07-21expiry day+₹879
2026-07-28expiry day+₹311
2026-08-04expiry day+₹850
2026-08-11expiry day+₹3,905
2026-08-18expiry day−₹2,524
2026-08-25expiry day+₹533
2026-09-01expiry day−₹2,787
2026-09-08expiry day−₹6
2026-09-15expiry day+₹1,508
2026-09-22expiry day+₹397
2026-09-29expiry day+₹1,239

What is an every-day Nifty ATM straddle with leg stops?

It sells the ATM call and ATM put at 09:18 on every trading day, not only on expiry. Each leg has its own stop at +40% of its entry price, so a trending day closes the losing leg while the other keeps running; the whole position also exits at a rupee profit or loss limit, or at 14:45.

NIFTY ATM Straddle Expiry Day backtest results

Over 104 trades from 2024-10-03 to 2026-09-29 at 65 quantity, the NIFTY ATM straddle Expiry day returned +₹61,972 after brokerage, taxes and slippage: +₹35,164 in year 1 and +₹26,808 in year 2. It won 69% of trades, had a profit factor of 1.57 and a worst drawdown of −₹12,671. That is 15.6% a year on an estimated ₹2,00,000 of capital.

The year 1 figure is the period the rules were looked at; year 2 is the test. If a strategy works in year 1 and fails in year 2, it was probably fitted to the past.

Why expiry day carries this strategy

Option premium decays fastest on expiry day, so that is where an intraday straddle can collect enough to cover costs. On the other weekdays there is less decay within a single session, while the round-trip charges and the risk of a trend stay the same.

Risks of an every-day straddle

Five trades a week means five sets of charges and slippage, and a run of trending days can stack losses. Capital assumed is about ₹2,00,000 for 65 quantity.

Frequently asked questions

Is the NIFTY ATM straddle Expiry day profitable?

In this two-year backtest it made money in both years: +₹35,164 in year 1 and +₹26,808 in year 2, +₹61,972 in total after costs at 65 quantity, with a 69% win rate. Past results do not guarantee future returns.

How much capital does the NIFTY ATM straddle Expiry day need?

About ₹2,00,000 for 65 quantity is assumed here. Actual broker margin changes with the index level and volatility.

Does it use a stop-loss?

Yes: each leg exits on its own at +40% of its entry, and the whole position at the rupee limits.

Does it hold positions overnight?

No. It opens and closes the same day.

How was this backtest done?

On 1-minute prices of expired NIFTY option contracts from 2024-10-03 to 2026-09-29 (two years), with brokerage, STT, exchange charges, SEBI fee, stamp duty, GST and 0.5 point slippage per fill, and every exit filled at the next minute's price.

Backtest on historical data, not a live track record and not advice. Options can lose more than the premium collected. MarketCue is not a SEBI-registered investment adviser. See the disclaimer.