Expiry day · NIFTY · intraday
NIFTY Expiry-Day Iron Fly Failed
Failed. Lost money in year 2: on expiry day the wings cost more than they saved. +₹10,583 net over 104 trades (2024-10-03 to 2026-09-29, 75 quantity), 41% win rate, max drawdown −₹33,183, 8.9% a year on ₹60,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: sell 25000 CE at ₹60.5, sell 25000 PE at ₹56.5, buy 25300 CE at ₹3.95, buy 24700 PE at ₹3.8. Typical strikes and premiums at entry over the 2 years: ATM straddle ₹117 sold, wings 300 points out bought for ~₹7.75, at 09:20 on expiry day.
How it trades
- Day: NIFTY weekly expiry day only.
- Entry: 09:20, at that minute's open price.
- Legs: Sell the ATM call and ATM put; buy a call 300 points above and a put 300 points below as wings.
- Stop-loss: exit every leg when the combined loss reaches 30% 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 | +₹14,224 | 23.7% | 40% | 1.16 | −₹24,842 | −₹4,788 |
| Year 2 (test) | 52 | −₹3,641 | −6.1% | 42% | 0.96 | −₹18,962 | −₹5,753 |
| Both years | 104 | +₹10,583 | 17.6% | 41% | 1.06 | −₹33,183 | −₹5,753 |
Cumulative P&L
The cumulative P&L ends at +₹10,583 after 104 trades. Its high was +₹32,994 (2025-04-09); the deepest fall from a high was −₹33,183, from 2025-04-09 to 2026-06-09. Best day: +₹13,744 (2025-04-09); worst day: −₹5,753 (2026-04-07).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹3,381 | −₹6,969 | +₹3,468 | +₹10,703 |
Every trade
104 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2024-10-03 | Stop-loss | −₹3,758 |
| 2024-10-10 | Closed at the exit time | +₹6,194 |
| 2024-10-17 | Stop-loss | −₹3,714 |
| 2024-10-24 | Closed at the exit time | +₹5,921 |
| 2024-10-31 | Closed at the exit time | +₹1,837 |
| 2024-11-07 | Stop-loss | −₹3,589 |
| 2024-11-14 | Closed at the exit time | +₹6,636 |
| 2024-11-21 | Closed at the exit time | +₹10,999 |
| 2024-11-28 | Stop-loss | −₹4,110 |
| 2024-12-05 | Stop-loss | −₹4,788 |
| 2024-12-12 | Stop-loss | −₹2,472 |
| 2024-12-19 | Closed at the exit time | +₹6,196 |
| 2025-01-02 | Stop-loss | −₹4,710 |
| 2025-01-09 | Closed at the exit time | +₹393 |
| 2025-01-16 | Closed at the exit time | +₹1,769 |
| 2025-01-23 | Stop-loss | −₹3,145 |
| 2025-01-30 | Closed at the exit time | +₹7,642 |
| 2025-02-06 | Stop-loss | −₹3,107 |
| 2025-02-13 | Closed at the exit time | +₹4,341 |
| 2025-02-20 | Closed at the exit time | +₹4,496 |
| 2025-02-27 | Closed at the exit time | +₹214 |
| 2025-03-06 | Stop-loss | −₹3,019 |
| 2025-03-13 | Stop-loss | −₹2,787 |
| 2025-03-20 | Stop-loss | −₹3,370 |
| 2025-03-27 | Closed at the exit time | +₹1,964 |
| 2025-04-03 | Closed at the exit time | +₹3,217 |
| 2025-04-09 | Closed at the exit time | +₹13,744 |
| 2025-04-17 | Stop-loss | −₹2,683 |
| 2025-04-24 | Stop-loss | −₹3,356 |
| 2025-04-30 | Stop-loss | −₹2,331 |
| 2025-05-08 | Stop-loss | −₹2,753 |
| 2025-05-15 | Stop-loss | −₹3,315 |
| 2025-05-22 | Closed at the exit time | +₹8,692 |
| 2025-05-29 | Stop-loss | −₹3,017 |
| 2025-06-05 | Stop-loss | −₹2,987 |
| 2025-06-12 | Stop-loss | −₹3,008 |
| 2025-06-19 | Closed at the exit time | +₹3,558 |
| 2025-06-26 | Stop-loss | −₹3,444 |
| 2025-07-03 | Closed at the exit time | −₹61 |
| 2025-07-10 | Closed at the exit time | −₹123 |
| 2025-07-17 | Closed at the exit time | −₹996 |
| 2025-07-24 | Stop-loss | −₹2,304 |
| 2025-07-31 | Stop-loss | −₹3,306 |
| 2025-08-07 | Stop-loss | −₹3,408 |
| 2025-08-14 | Closed at the exit time | +₹5,293 |
| 2025-08-21 | Closed at the exit time | +₹3,464 |
| 2025-08-28 | Closed at the exit time | −₹1,085 |
| 2025-09-02 | Stop-loss | −₹2,373 |
| 2025-09-09 | Closed at the exit time | +₹4,852 |
| 2025-09-16 | Stop-loss | −₹2,184 |
| 2025-09-23 | Stop-loss | −₹2,404 |
| 2025-09-30 | Closed at the exit time | +₹509 |
| 2025-10-07 | Stop-loss | −₹3,025 |
| 2025-10-14 | Stop-loss | −₹3,693 |
| 2025-10-20 | Stop-loss | −₹3,260 |
| 2025-10-28 | Closed at the exit time | +₹8,285 |
| 2025-11-04 | Stop-loss | −₹3,083 |
| 2025-11-11 | Stop-loss | −₹3,150 |
| 2025-11-18 | Closed at the exit time | +₹4,931 |
| 2025-11-25 | Closed at the exit time | +₹2,479 |
| 2025-12-02 | Stop-loss | −₹3,204 |
| 2025-12-09 | Stop-loss | −₹3,409 |
| 2025-12-16 | Closed at the exit time | +₹518 |
| 2025-12-23 | Closed at the exit time | +₹4,191 |
| 2025-12-30 | Stop-loss | −₹2,229 |
| 2026-01-06 | Closed at the exit time | +₹3,816 |
| 2026-01-13 | Stop-loss | −₹3,119 |
| 2026-01-20 | Stop-loss | −₹3,416 |
| 2026-01-27 | Closed at the exit time | −₹195 |
| 2026-02-03 | Closed at the exit time | +₹8,713 |
| 2026-02-10 | Closed at the exit time | +₹3,399 |
| 2026-02-17 | Stop-loss | −₹2,657 |
| 2026-02-24 | Stop-loss | −₹3,911 |
| 2026-03-02 | Stop-loss | −₹4,777 |
| 2026-03-10 | Closed at the exit time | +₹3,079 |
| 2026-03-17 | Stop-loss | −₹3,991 |
| 2026-03-24 | Closed at the exit time | +₹5,365 |
| 2026-03-30 | Closed at the exit time | +₹394 |
| 2026-04-07 | Stop-loss | −₹5,753 |
| 2026-04-13 | Stop-loss | −₹4,423 |
| 2026-04-21 | Closed at the exit time | −₹137 |
| 2026-04-28 | Closed at the exit time | −₹1,128 |
| 2026-05-05 | Closed at the exit time | +₹8,236 |
| 2026-05-12 | Stop-loss | −₹3,424 |
| 2026-05-19 | Closed at the exit time | −₹81 |
| 2026-05-26 | Closed at the exit time | +₹1,307 |
| 2026-06-02 | Stop-loss | −₹3,944 |
| 2026-06-09 | Stop-loss | −₹3,117 |
| 2026-06-16 | Closed at the exit time | +₹4,426 |
| 2026-06-23 | Stop-loss | −₹3,319 |
| 2026-06-30 | Closed at the exit time | +₹2,071 |
| 2026-07-07 | Closed at the exit time | +₹2,669 |
| 2026-07-14 | Closed at the exit time | +₹4,761 |
| 2026-07-21 | Closed at the exit time | +₹1,700 |
| 2026-07-28 | Closed at the exit time | −₹396 |
| 2026-08-04 | Stop-loss | −₹2,619 |
| 2026-08-11 | Closed at the exit time | +₹4,854 |
| 2026-08-18 | Closed at the exit time | +₹509 |
| 2026-08-25 | Closed at the exit time | +₹542 |
| 2026-09-01 | Stop-loss | −₹2,471 |
| 2026-09-08 | Closed at the exit time | −₹64 |
| 2026-09-15 | Stop-loss | −₹2,899 |
| 2026-09-22 | Stop-loss | −₹2,758 |
| 2026-09-29 | Closed at the exit time | +₹3,766 |
What is a Nifty iron fly (iron butterfly)?
An iron fly sells the ATM call and put like a straddle, then buys a call 300 points above and a put 300 points below as protection. The wings cap the maximum loss and cut the margin to roughly ₹60,000.
NIFTY Expiry-Day Iron Fly backtest results
Over 104 trades from 2024-10-03 to 2026-09-29 at 75 quantity, the NIFTY expiry-day iron fly returned +₹10,583 after brokerage, taxes and slippage: +₹14,224 in year 1 and −₹3,641 in year 2. It won 41% of trades, had a profit factor of 1.06 and a worst drawdown of −₹33,183. That is 8.9% 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 fly underperforms the straddle
Buying wings costs premium and adds two more legs of brokerage, STT and slippage. On expiry day those costs take a large share of the credit, so the iron fly keeps less of each winning day while still losing on trend days.
Risks of the Nifty iron fly
Loss is capped at the wing width minus the credit, but four legs mean four fills: in fast markets the slippage on exits can be material.
Frequently asked questions
Is the NIFTY expiry-day iron fly profitable?
In this two-year backtest it did not make money in both years: +₹14,224 in year 1 and −₹3,641 in year 2, +₹10,583 in total after costs at 75 quantity, with a 41% win rate. Past results do not guarantee future returns.
How much capital does the NIFTY expiry-day iron fly 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 30% 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.