Expiry day · NIFTY · intraday

NIFTY Expiry-Day Iron Condor Failed

Failed. Lost in year 1 and recovered only part of it: four legs of costs eat the small credit. −₹3,489 net over 104 trades (2024-10-03 to 2026-09-29, 75 quantity), 53% win rate, max drawdown −₹18,697, −2.9% a year on ₹60,000 capital, after all costs and slippage.

Data to · page updated

Net P&L−₹3,489both years
Return / year−2.9%on ₹60,000 capital
Win rate53%104 trades
Profit factor0.97gross wins ÷ gross losses
Max drawdown−₹18,697peak to trough
Worst day−₹3,295best +₹2,431

Payoff

Net credit₹2,475one position, 75 qty
Max profit₹2,475at expiry
Max loss−₹12,525at expiry
Breakeven24,867 / 25,133NIFTY at expiry

Illustrated with NIFTY at 25,000: sell 25100 CE at ₹20.85, sell 24900 PE at ₹18.3, buy 25300 CE at ₹3.05, buy 24700 PE at ₹3.1. Typical strikes and premiums at entry over the 2 years: ₹20 call and put ~0.37% from spot sold, wings 200 points further out bought, at 10:00 on expiry day.

On expiry3 h before expiryRule exitsBreakeven

Typical strikes and premiums at entry over the 2 years: ₹20 call and put ~0.37% from spot sold, wings 200 points further out bought, at 10:00 on expiry day. Dashed lines: SL = Stop-loss exit at −50% of the credit (-₹1,237). Illustrated with NIFTY at 25,000, 75 qty, before charges.

How it trades

  • Day: NIFTY weekly expiry day only.
  • Entry: 10:00, at that minute's open price.
  • Legs: Sell the out-of-the-money call and put priced closest to ₹20; buy wings 200 points further out on each side.
  • Stop-loss: exit every leg when the combined loss reaches 50% of the premium collected (checked each minute).
  • Exit: anything still open is closed at 15:15.
  • Size: 75 qty every trade. Costs: brokerage, STT, exchange, SEBI, stamp, GST and 0.5 point slippage per fill.

Year 1 vs year 2

PeriodTradesNet P&LReturn (₹60,000)Win rateProfit factorMax drawdownWorst day
Year 1 (to 2025-09-30)52−₹6,988−11.6%52%0.86−₹18,697−₹3,295
Year 2 (test)52+₹3,4995.8%54%1.07−₹12,980−₹2,630
Both years104−₹3,489−5.8%53%0.97−₹18,697−₹3,295

Cumulative P&L

The cumulative P&L ends at −₹3,489 after 104 trades. Its high was +₹9,491 (2026-02-10); the deepest fall from a high was −₹18,697, from 2025-02-27 to 2025-08-07. Best day: +₹2,431 (2025-09-09); worst day: −₹3,295 (2025-05-15).

104 trading daysEnd -₹3,489Peak +₹9,491Max drawdown -₹18,697

P&L by quarter

QuarterJan–MarApr–JunJul–SepOct–Dec
Net P&L−₹240−₹8,398−₹8,009+₹13,158

Every trade

104 trades
DateExitNet P&L
2024-10-03Stop-loss−₹2,286
2024-10-10Closed at the exit time+₹1,559
2024-10-17Closed at the exit time+₹1,532
2024-10-24Closed at the exit time+₹1,903
2024-10-31Stop-loss−₹1,747
2024-11-07Closed at the exit time+₹1,589
2024-11-14Closed at the exit time+₹1,753
2024-11-21Closed at the exit time+₹1,295
2024-11-28Stop-loss−₹2,187
2024-12-05Stop-loss−₹2,947
2024-12-12Stop-loss−₹1,510
2024-12-19Closed at the exit time+₹1,209
2025-01-02Stop-loss−₹2,029
2025-01-09Stop-loss−₹2,623
2025-01-16Closed at the exit time+₹1,443
2025-01-23Closed at the exit time+₹2,401
2025-01-30Closed at the exit time+₹1,723
2025-02-06Closed at the exit time+₹2,008
2025-02-13Closed at the exit time+₹1,555
2025-02-20Closed at the exit time+₹2,072
2025-02-27Closed at the exit time+₹694
2025-03-06Stop-loss−₹2,930
2025-03-13Stop-loss−₹1,752
2025-03-20Stop-loss−₹1,748
2025-03-27Closed at the exit time+₹1,255
2025-04-03Closed at the exit time+₹1,349
2025-04-09Closed at the exit time+₹1,328
2025-04-17Stop-loss−₹2,251
2025-04-24Closed at the exit time+₹1,172
2025-04-30Closed at the exit time+₹1,443
2025-05-08Stop-loss−₹1,557
2025-05-15Stop-loss−₹3,295
2025-05-22Stop-loss−₹1,270
2025-05-29Stop-loss−₹1,784
2025-06-05Stop-loss−₹1,677
2025-06-12Stop-loss−₹1,924
2025-06-19Closed at the exit time+₹1,180
2025-06-26Closed at the exit time+₹1,787
2025-07-03Stop-loss−₹1,927
2025-07-10Closed at the exit time+₹2,091
2025-07-17Stop-loss−₹1,684
2025-07-24Stop-loss−₹2,235
2025-07-31Stop-loss−₹2,211
2025-08-07Stop-loss−₹2,057
2025-08-14Closed at the exit time+₹2,158
2025-08-21Closed at the exit time+₹1,836
2025-08-28Stop-loss−₹1,684
2025-09-02Stop-loss−₹1,777
2025-09-09Closed at the exit time+₹2,431
2025-09-16Closed at the exit time+₹1,581
2025-09-23Stop-loss−₹2,188
2025-09-30Closed at the exit time+₹1,945
2025-10-07Closed at the exit time+₹1,735
2025-10-14Stop-loss−₹2,192
2025-10-20Closed at the exit time+₹1,899
2025-10-28Closed at the exit time+₹2,203
2025-11-04Closed at the exit time+₹1,712
2025-11-11Stop-loss−₹2,149
2025-11-18Closed at the exit time+₹2,023
2025-11-25Closed at the exit time+₹786
2025-12-02Closed at the exit time+₹2,297
2025-12-09Stop-loss−₹2,015
2025-12-16Closed at the exit time+₹2,042
2025-12-23Closed at the exit time+₹2,346
2025-12-30Closed at the exit time+₹2,308
2026-01-06Stop-loss−₹2,029
2026-01-13Closed at the exit time+₹2,069
2026-01-20Stop-loss−₹2,013
2026-01-27Closed at the exit time+₹2,045
2026-02-03Closed at the exit time+₹1,430
2026-02-10Closed at the exit time+₹1,982
2026-02-17Stop-loss−₹1,635
2026-02-24Stop-loss−₹2,461
2026-03-02Stop-loss−₹1,658
2026-03-10Stop-loss−₹1,644
2026-03-17Closed at the exit time+₹1,978
2026-03-24Stop-loss−₹2,107
2026-03-30Closed at the exit time+₹1,734
2026-04-07Closed at the exit time+₹1,918
2026-04-13Stop-loss−₹1,770
2026-04-21Closed at the exit time+₹1,933
2026-04-28Stop-loss−₹1,552
2026-05-05Stop-loss−₹2,173
2026-05-12Stop-loss−₹1,751
2026-05-19Closed at the exit time+₹1,757
2026-05-26Stop-loss−₹2,281
2026-06-02Stop-loss−₹2,042
2026-06-09Closed at the exit time+₹1,919
2026-06-16Closed at the exit time+₹2,143
2026-06-23Stop-loss−₹2,630
2026-06-30Closed at the exit time+₹1,630
2026-07-07Closed at the exit time+₹2,113
2026-07-14Closed at the exit time+₹1,926
2026-07-21Closed at the exit time+₹1,533
2026-07-28Closed at the exit time+₹2,076
2026-08-04Stop-loss−₹1,577
2026-08-11Closed at the exit time+₹2,330
2026-08-18Stop-loss−₹2,017
2026-08-25Stop-loss−₹2,077
2026-09-01Stop-loss−₹1,915
2026-09-08Closed at the exit time+₹290
2026-09-15Stop-loss−₹2,623
2026-09-22Stop-loss−₹2,302
2026-09-29Stop-loss−₹2,045

What is a Nifty iron condor?

An iron condor sells an OTM call and OTM put (here priced near ₹20) and buys further-out wings 200 points beyond each, turning a short strangle into a defined-risk trade with margin of about ₹60,000.

NIFTY Expiry-Day Iron Condor backtest results

Over 104 trades from 2024-10-03 to 2026-09-29 at 75 quantity, the NIFTY expiry-day iron condor returned −₹3,489 after brokerage, taxes and slippage: −₹6,988 in year 1 and +₹3,499 in year 2. It won 53% of trades, had a profit factor of 0.97 and a worst drawdown of −₹18,697. That is −2.9% a year on an estimated ₹60,000 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 the iron condor struggled in this backtest

On expiry day the OTM premium is already small. After paying for wings and four legs of charges and slippage, little credit is left, so a few losing trend days wipe out many small wins.

Risks of the Nifty iron condor

Defined risk does not mean low risk: a breakout through one side loses close to the full wing width, and costs are proportionally high on a low-credit, four-leg trade.

Frequently asked questions

Is the NIFTY expiry-day iron condor profitable?

In this two-year backtest it did not make money in both years: −₹6,988 in year 1 and +₹3,499 in year 2, −₹3,489 in total after costs at 75 quantity, with a 53% win rate. Past results do not guarantee future returns.

How much capital does the NIFTY expiry-day iron condor need?

About ₹60,000 for 75 quantity is assumed here. Actual broker margin changes with the index level and volatility.

Does it use a stop-loss?

Yes: all legs close together when the combined loss reaches 50% of the premium collected, checked every minute.

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.