Weekly carry · NIFTY · held overnight
NIFTY Diagonal Hedge Rejected
Rejected. Lost in both years: the next-week hedge costs more than it saves. −₹17,074 net over 104 trades (2024-09-27 to 2026-09-29, 65 quantity), 80% win rate, max drawdown −₹39,254, −28.4% a year on ₹30,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: sell 25500 CE at ₹25, sell 24450 PE at ₹25, buy 25900 CE (next week) at ₹22.5, buy 24050 PE (next week) at ₹22.5. Sold at 09:20 on the first session of the week and held to expiry: 25500 CE + 24450 PE, ~₹25 each (~2.0% / 2.2% from spot, typical over the 2 years). Plus next week's 25900 CE + 24050 PE bought for ~₹22.5 each as the hedge; at this week's expiry they still have a week left, so the red line includes their remaining value.
How it trades
- Week: every NIFTY weekly expiry (Tuesday; Thursday before Sep 2025), including holiday weeks.
- Wednesday 09:20 (first session after the last expiry; in a holiday week the first real session, Muhurat evening skipped): sell the OTM call and put each priced closest to ₹25 in THIS week's expiry (e.g. 25500 CE + 24450 PE with NIFTY at 25,000; ≈₹50 credit).
- Same minute, the hedge: buy NEXT week's call 400 points above the sold call and put 400 points below the sold put (e.g. 25900 CE + 24050 PE, ≈₹45 together). If that strike has no price, the nearest priced one at least 200 points out; if next week has no data, the week trades naked.
- Hold Wednesday → Tuesday, including the weekend. No stop-loss.
- Tuesday 15:00: close all four legs at market; the next-week legs are sold back with a week still left on them.
- Size: 1 lot (65 qty) per leg; capital = the theoretical max loss, ≈₹30k (not a broker margin quote). Costs: Zerodha-style charges and 0.5 point slippage on every fill.
Year 1 vs year 2
| Period | Trades | Net P&L | Return (₹30,000) | Win rate | Profit factor | Max drawdown | Worst week |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 52 | −₹12,927 | −43.1% | 83% | 0.81 | −₹24,460 | −₹18,143 |
| Year 2 (test) | 52 | −₹4,147 | −13.8% | 77% | 0.92 | −₹21,793 | −₹21,150 |
| Both years | 104 | −₹17,074 | −56.9% | 80% | 0.86 | −₹39,254 | −₹21,150 |
Cumulative P&L
The cumulative P&L ends at −₹17,074 after 104 trades. Its high was +₹11,533 (2025-03-13); the deepest fall from a high was −₹39,254, from 2025-03-13 to 2025-10-20. Best week: +₹4,580 (2026-03-24); worst week: −₹21,150 (2026-09-29).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹11,904 | −₹9,898 | −₹15,126 | −₹3,954 |
Every trade
104 trades
| Expiry | Exit | Net P&L |
|---|---|---|
| 2024-10-03 | Held to expiry | −₹18,143 |
| 2024-10-10 | Held to expiry | +₹42 |
| 2024-10-17 | Held to expiry | +₹949 |
| 2024-10-24 | Held to expiry | +₹597 |
| 2024-10-31 | Held to expiry | +₹1,099 |
| 2024-11-07 | Held to expiry | +₹252 |
| 2024-11-14 | Held to expiry | +₹1,428 |
| 2024-11-21 | Held to expiry | +₹1,992 |
| 2024-11-28 | Held to expiry | +₹4,069 |
| 2024-12-05 | Held to expiry | +₹3,774 |
| 2024-12-12 | Held to expiry | +₹390 |
| 2024-12-19 | naked-no-hedge | +₹2,910 |
| 2025-01-02 | Held to expiry | +₹1,428 |
| 2025-01-09 | Held to expiry | +₹2,701 |
| 2025-01-16 | Held to expiry | +₹1,513 |
| 2025-01-23 | Held to expiry | +₹211 |
| 2025-01-30 | Held to expiry | +₹601 |
| 2025-02-06 | Held to expiry | −₹175 |
| 2025-02-13 | Held to expiry | +₹2,079 |
| 2025-02-20 | Held to expiry | +₹665 |
| 2025-02-27 | Held to expiry | +₹974 |
| 2025-03-06 | Held to expiry | +₹1,413 |
| 2025-03-13 | Held to expiry | +₹764 |
| 2025-03-20 | Held to expiry | −₹15,140 |
| 2025-03-27 | Held to expiry | +₹1,270 |
| 2025-04-03 | Held to expiry | +₹1,467 |
| 2025-04-09 | Held to expiry | +₹3,085 |
| 2025-04-17 | naked-no-hedge | −₹5,980 |
| 2025-04-24 | Held to expiry | +₹1,534 |
| 2025-04-30 | Held to expiry | +₹414 |
| 2025-05-08 | Held to expiry | +₹2,477 |
| 2025-05-15 | naked-no-hedge | −₹4,877 |
| 2025-05-22 | Held to expiry | +₹431 |
| 2025-05-29 | Held to expiry | +₹180 |
| 2025-06-05 | Held to expiry | +₹67 |
| 2025-06-12 | Held to expiry | +₹168 |
| 2025-06-19 | Held to expiry | −₹92 |
| 2025-06-26 | Held to expiry | −₹7,774 |
| 2025-07-03 | Held to expiry | +₹510 |
| 2025-07-10 | Held to expiry | +₹949 |
| 2025-07-17 | Held to expiry | +₹948 |
| 2025-07-24 | Held to expiry | +₹1,182 |
| 2025-07-31 | Held to expiry | +₹1,490 |
| 2025-08-07 | Held to expiry | +₹1,133 |
| 2025-08-14 | Held to expiry | +₹1,644 |
| 2025-08-21 | Held to expiry | +₹861 |
| 2025-08-28 | Held to expiry | −₹8,419 |
| 2025-09-02 | Held to expiry | +₹1,038 |
| 2025-09-09 | Held to expiry | +₹1,631 |
| 2025-09-16 | Held to expiry | +₹1,722 |
| 2025-09-23 | Held to expiry | +₹1,188 |
| 2025-09-30 | Held to expiry | −₹7,567 |
| 2025-10-07 | Held to expiry | −₹8,288 |
| 2025-10-14 | Held to expiry | +₹1,693 |
| 2025-10-20 | Held to expiry | −₹8,199 |
| 2025-10-28 | Held to expiry | +₹1,054 |
| 2025-11-04 | Held to expiry | +₹1,575 |
| 2025-11-11 | Held to expiry | +₹681 |
| 2025-11-18 | Held to expiry | +₹893 |
| 2025-11-25 | Held to expiry | +₹741 |
| 2025-12-02 | Held to expiry | +₹1,141 |
| 2025-12-09 | Held to expiry | +₹1,666 |
| 2025-12-16 | Held to expiry | +₹1,284 |
| 2025-12-23 | Held to expiry | +₹1,449 |
| 2025-12-30 | Held to expiry | +₹997 |
| 2026-01-06 | Held to expiry | +₹2,034 |
| 2026-01-13 | Held to expiry | −₹6,851 |
| 2026-01-20 | Held to expiry | +₹2,315 |
| 2026-01-27 | Held to expiry | +₹1,414 |
| 2026-02-03 | Held to expiry | +₹1,067 |
| 2026-02-10 | Held to expiry | +₹617 |
| 2026-02-17 | Held to expiry | +₹2,159 |
| 2026-02-24 | Held to expiry | +₹2,285 |
| 2026-03-02 | Held to expiry | −₹1,128 |
| 2026-03-10 | naked-no-hedge | +₹1,221 |
| 2026-03-17 | Held to expiry | +₹1,808 |
| 2026-03-24 | Held to expiry | +₹4,580 |
| 2026-03-30 | Held to expiry | +₹2,079 |
| 2026-04-07 | Held to expiry | −₹870 |
| 2026-04-13 | Held to expiry | −₹1,108 |
| 2026-04-21 | Held to expiry | +₹504 |
| 2026-04-28 | Held to expiry | −₹560 |
| 2026-05-05 | Held to expiry | −₹460 |
| 2026-05-12 | Held to expiry | −₹1,569 |
| 2026-05-19 | Held to expiry | −₹664 |
| 2026-05-26 | Held to expiry | +₹637 |
| 2026-06-02 | Held to expiry | +₹1,986 |
| 2026-06-09 | Held to expiry | +₹81 |
| 2026-06-16 | Held to expiry | +₹90 |
| 2026-06-23 | Held to expiry | +₹763 |
| 2026-06-30 | Held to expiry | +₹172 |
| 2026-07-07 | Held to expiry | +₹473 |
| 2026-07-14 | Held to expiry | +₹2,264 |
| 2026-07-21 | Held to expiry | +₹354 |
| 2026-07-28 | Held to expiry | +₹767 |
| 2026-08-04 | Held to expiry | +₹783 |
| 2026-08-11 | Held to expiry | +₹1,439 |
| 2026-08-18 | Held to expiry | +₹1,078 |
| 2026-08-25 | Held to expiry | +₹1,199 |
| 2026-09-01 | Held to expiry | −₹3,874 |
| 2026-09-08 | Held to expiry | +₹1,163 |
| 2026-09-15 | Held to expiry | +₹1,730 |
| 2026-09-22 | Held to expiry | +₹338 |
| 2026-09-29 | naked-no-hedge | −₹21,150 |
What is a weekly Nifty strangle held to expiry?
A weekly carry sells an out-of-the-money call and put early in the week and holds them, overnight and over the weekend, until the weekly expiry. Most of the premium decays in the last few sessions, which is what the strategy collects.
This version: Wednesday 09:20 (first session after the last expiry; in a holiday week the first real session, Muhurat evening skipped): sell the OTM call and put each priced closest to ₹25 in THIS week's expiry (e.g. 25500 CE + 24450 PE with NIFTY at 25,000; ≈₹50 credit).
NIFTY Diagonal Hedge backtest results
Over 104 trades from 2024-09-27 to 2026-09-29 at 65 quantity, the NIFTY diagonal hedge returned −₹17,074 after brokerage, taxes and slippage: −₹12,927 in year 1 and −₹4,147 in year 2. It won 80% of trades, had a profit factor of 0.86 and a worst drawdown of −₹39,254. That is −28.4% a year on an estimated ₹30,000 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.
What drives the result
Weekly carry wins most weeks by a small amount and loses rarely but heavily, when Nifty moves several percent in a week. Over the two years tested Nifty fell about 12.6%, which favoured the short-call side, so part of the result reflects that market rather than premium alone.
Risks of holding a short strangle overnight
An overnight gap can open far beyond a strike, and with no stop the loss is only limited at expiry. Capital assumed is about ₹30,000.
Frequently asked questions
Is the NIFTY diagonal hedge profitable?
In this two-year backtest it did not make money in both years: −₹12,927 in year 1 and −₹4,147 in year 2, −₹17,074 in total after costs at 65 quantity, with a 80% win rate. Past results do not guarantee future returns.
How much capital does the NIFTY diagonal hedge need?
About ₹30,000 for 65 quantity is assumed here. Actual broker margin changes with the index level and volatility.
Does it use a stop-loss?
No stop-loss: positions are held to the exit time or expiry.
Does it hold positions overnight?
Yes. Positions are carried across sessions until expiry, so overnight gap risk is part of the result.
How was this backtest done?
On 1-minute prices of expired NIFTY option contracts from 2024-09-27 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.
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.