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
Payoff
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.
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
| Period | Trades | Net P&L | Return (₹60,000) | Win rate | Profit factor | Max drawdown | Worst day |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 52 | −₹6,988 | −11.6% | 52% | 0.86 | −₹18,697 | −₹3,295 |
| Year 2 (test) | 52 | +₹3,499 | 5.8% | 54% | 1.07 | −₹12,980 | −₹2,630 |
| Both years | 104 | −₹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).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | −₹240 | −₹8,398 | −₹8,009 | +₹13,158 |
Every trade
104 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2024-10-03 | Stop-loss | −₹2,286 |
| 2024-10-10 | Closed at the exit time | +₹1,559 |
| 2024-10-17 | Closed at the exit time | +₹1,532 |
| 2024-10-24 | Closed at the exit time | +₹1,903 |
| 2024-10-31 | Stop-loss | −₹1,747 |
| 2024-11-07 | Closed at the exit time | +₹1,589 |
| 2024-11-14 | Closed at the exit time | +₹1,753 |
| 2024-11-21 | Closed at the exit time | +₹1,295 |
| 2024-11-28 | Stop-loss | −₹2,187 |
| 2024-12-05 | Stop-loss | −₹2,947 |
| 2024-12-12 | Stop-loss | −₹1,510 |
| 2024-12-19 | Closed at the exit time | +₹1,209 |
| 2025-01-02 | Stop-loss | −₹2,029 |
| 2025-01-09 | Stop-loss | −₹2,623 |
| 2025-01-16 | Closed at the exit time | +₹1,443 |
| 2025-01-23 | Closed at the exit time | +₹2,401 |
| 2025-01-30 | Closed at the exit time | +₹1,723 |
| 2025-02-06 | Closed at the exit time | +₹2,008 |
| 2025-02-13 | Closed at the exit time | +₹1,555 |
| 2025-02-20 | Closed at the exit time | +₹2,072 |
| 2025-02-27 | Closed at the exit time | +₹694 |
| 2025-03-06 | Stop-loss | −₹2,930 |
| 2025-03-13 | Stop-loss | −₹1,752 |
| 2025-03-20 | Stop-loss | −₹1,748 |
| 2025-03-27 | Closed at the exit time | +₹1,255 |
| 2025-04-03 | Closed at the exit time | +₹1,349 |
| 2025-04-09 | Closed at the exit time | +₹1,328 |
| 2025-04-17 | Stop-loss | −₹2,251 |
| 2025-04-24 | Closed at the exit time | +₹1,172 |
| 2025-04-30 | Closed at the exit time | +₹1,443 |
| 2025-05-08 | Stop-loss | −₹1,557 |
| 2025-05-15 | Stop-loss | −₹3,295 |
| 2025-05-22 | Stop-loss | −₹1,270 |
| 2025-05-29 | Stop-loss | −₹1,784 |
| 2025-06-05 | Stop-loss | −₹1,677 |
| 2025-06-12 | Stop-loss | −₹1,924 |
| 2025-06-19 | Closed at the exit time | +₹1,180 |
| 2025-06-26 | Closed at the exit time | +₹1,787 |
| 2025-07-03 | Stop-loss | −₹1,927 |
| 2025-07-10 | Closed at the exit time | +₹2,091 |
| 2025-07-17 | Stop-loss | −₹1,684 |
| 2025-07-24 | Stop-loss | −₹2,235 |
| 2025-07-31 | Stop-loss | −₹2,211 |
| 2025-08-07 | Stop-loss | −₹2,057 |
| 2025-08-14 | Closed at the exit time | +₹2,158 |
| 2025-08-21 | Closed at the exit time | +₹1,836 |
| 2025-08-28 | Stop-loss | −₹1,684 |
| 2025-09-02 | Stop-loss | −₹1,777 |
| 2025-09-09 | Closed at the exit time | +₹2,431 |
| 2025-09-16 | Closed at the exit time | +₹1,581 |
| 2025-09-23 | Stop-loss | −₹2,188 |
| 2025-09-30 | Closed at the exit time | +₹1,945 |
| 2025-10-07 | Closed at the exit time | +₹1,735 |
| 2025-10-14 | Stop-loss | −₹2,192 |
| 2025-10-20 | Closed at the exit time | +₹1,899 |
| 2025-10-28 | Closed at the exit time | +₹2,203 |
| 2025-11-04 | Closed at the exit time | +₹1,712 |
| 2025-11-11 | Stop-loss | −₹2,149 |
| 2025-11-18 | Closed at the exit time | +₹2,023 |
| 2025-11-25 | Closed at the exit time | +₹786 |
| 2025-12-02 | Closed at the exit time | +₹2,297 |
| 2025-12-09 | Stop-loss | −₹2,015 |
| 2025-12-16 | Closed at the exit time | +₹2,042 |
| 2025-12-23 | Closed at the exit time | +₹2,346 |
| 2025-12-30 | Closed at the exit time | +₹2,308 |
| 2026-01-06 | Stop-loss | −₹2,029 |
| 2026-01-13 | Closed at the exit time | +₹2,069 |
| 2026-01-20 | Stop-loss | −₹2,013 |
| 2026-01-27 | Closed at the exit time | +₹2,045 |
| 2026-02-03 | Closed at the exit time | +₹1,430 |
| 2026-02-10 | Closed at the exit time | +₹1,982 |
| 2026-02-17 | Stop-loss | −₹1,635 |
| 2026-02-24 | Stop-loss | −₹2,461 |
| 2026-03-02 | Stop-loss | −₹1,658 |
| 2026-03-10 | Stop-loss | −₹1,644 |
| 2026-03-17 | Closed at the exit time | +₹1,978 |
| 2026-03-24 | Stop-loss | −₹2,107 |
| 2026-03-30 | Closed at the exit time | +₹1,734 |
| 2026-04-07 | Closed at the exit time | +₹1,918 |
| 2026-04-13 | Stop-loss | −₹1,770 |
| 2026-04-21 | Closed at the exit time | +₹1,933 |
| 2026-04-28 | Stop-loss | −₹1,552 |
| 2026-05-05 | Stop-loss | −₹2,173 |
| 2026-05-12 | Stop-loss | −₹1,751 |
| 2026-05-19 | Closed at the exit time | +₹1,757 |
| 2026-05-26 | Stop-loss | −₹2,281 |
| 2026-06-02 | Stop-loss | −₹2,042 |
| 2026-06-09 | Closed at the exit time | +₹1,919 |
| 2026-06-16 | Closed at the exit time | +₹2,143 |
| 2026-06-23 | Stop-loss | −₹2,630 |
| 2026-06-30 | Closed at the exit time | +₹1,630 |
| 2026-07-07 | Closed at the exit time | +₹2,113 |
| 2026-07-14 | Closed at the exit time | +₹1,926 |
| 2026-07-21 | Closed at the exit time | +₹1,533 |
| 2026-07-28 | Closed at the exit time | +₹2,076 |
| 2026-08-04 | Stop-loss | −₹1,577 |
| 2026-08-11 | Closed at the exit time | +₹2,330 |
| 2026-08-18 | Stop-loss | −₹2,017 |
| 2026-08-25 | Stop-loss | −₹2,077 |
| 2026-09-01 | Stop-loss | −₹1,915 |
| 2026-09-08 | Closed at the exit time | +₹290 |
| 2026-09-15 | Stop-loss | −₹2,623 |
| 2026-09-22 | Stop-loss | −₹2,302 |
| 2026-09-29 | Stop-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.
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.