Closing auction · NIFTY · intraday
NIFTY Closing Auction ATM Buy Too few trades yet
Too few trades yet. Only a handful of closing-auction expiries since August 2026: too few trades to judge. +₹4,649 net over 7 trades (2026-08-25 to 2026-10-06, 65 quantity), 86% win rate, max drawdown −₹946, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: buy 25000 CE at ₹37.85. Buy the ATM option on the predicted side (a call shown; a put is the mirror image) at the median price paid, ₹37.9. The premium is the most it can lose.
How it trades
- Day: NIFTY weekly expiry day only; at most one trade.
- Side: the CAS card's system prediction as of 3:14 (late drift, OI shift, options-implied settlement and order-book depth; a tie goes to the drift). It never changes after 3:14.
- Entry: buy the ATM option on the predicted side at 3:15 (ATM = the 3:14 index price rounded to the nearest 50), at the 3:14 price + ₹1.
- Target: the conservative level from the expiries before that day (the largest of +20/30/50/75/100% the same kind of leg reached by 3:26 on at least 3 in 4), else aggressive (at least half); no trade with neither or fewer than 3 past expiries.
- Exit: sell at the target − ₹1 as soon as a minute's high reaches it; otherwise hold (NRML) and sell at 3:39 − ₹1. Never held to settlement.
- Stop-loss: none; the premium paid is the most a trade can lose.
- Size: 65 qty (1 lot) every trade. Costs: brokerage, STT, exchange, SEBI, stamp and GST.
Cumulative P&L
The cumulative P&L ends at +₹4,649 after 7 trades. Its high was +₹4,649 (2026-10-06); the deepest fall from a high was −₹946, from 2026-09-22 to 2026-09-29. Best day: +₹1,398 (2026-09-15); worst day: −₹946 (2026-09-29).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | ₹0 | ₹0 | +₹3,618 | +₹1,031 |
Every trade
7 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2026-08-25 | Target | +₹321 |
| 2026-09-01 | Target | +₹1,015 |
| 2026-09-08 | Target | +₹1,152 |
| 2026-09-15 | Target | +₹1,398 |
| 2026-09-22 | Target | +₹678 |
| 2026-09-29 | Sold at the exit time | −₹946 |
| 2026-10-06 | Target | +₹1,031 |
What is the NIFTY closing auction trade?
Since SEBI's closing auction session went live on 3 August 2026, the expiry-day settlement price of NIFTY is set in an auction after 3:15 PM. This strategy buys one at-the-money option on expiry day, on the side its read of the auction points to, and sells it before settlement.
NIFTY Closing Auction ATM Buy backtest results
Over 7 trades from 2026-08-25 to 2026-10-06 at 65 quantity, the NIFTY closing auction ATM buy returned +₹4,649 after brokerage, taxes and slippage. It won 86% of trades, had a profit factor of 5.91 and a worst drawdown of −₹946. That is too short a record for a per-year figure (capital about ₹5,000).
Why there are so few trades
It trades only on NIFTY expiry days since August 2026, so the record is still a handful of trades (7 so far). Results this short can change sign quickly.
Risks of the closing auction trade
The premium paid is the most a trade can lose, but auction prices can move sharply in the last minutes and fills near the close may be thin.
Frequently asked questions
Is the NIFTY closing auction ATM buy profitable?
It has only 7 trades so far (+₹4,649 after costs), too few to call. Past results do not guarantee future returns.
How much capital does the NIFTY closing auction ATM buy need?
About ₹5,000 for 65 quantity is assumed here. Actual broker margin changes with the index level and volatility.
Does it use a stop-loss?
No: the premium paid is the most a trade can lose.
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 2026-08-25 to 2026-10-06 (7 expiries so far), 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.
Related on MarketCue
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.