Expiry day · NIFTY · intraday
NIFTY Expiry-Day Straddle 10:00 Passed both years
Passed both years. Profitable in both years, with deeper losing streaks than the 09:20 entry. +₹55,975 net over 104 trades (2024-10-03 to 2026-09-29, 75 quantity), 40% win rate, max drawdown −₹28,629, 14.1% a year on ₹2,00,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: sell 25000 CE at ₹50.4, sell 25000 PE at ₹52.4. Typical strikes and premiums at entry over the 2 years: ATM call ₹50.4 + put ₹52.4 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 ATM call and ATM put (ATM = spot rounded to the nearest 50).
- Stop-loss: exit every leg when the combined loss reaches 20% 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 (₹2,00,000) | Win rate | Profit factor | Max drawdown | Worst day |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 52 | +₹28,731 | 14.4% | 40% | 1.39 | −₹28,367 | −₹7,257 |
| Year 2 (test) | 52 | +₹27,244 | 13.6% | 40% | 1.37 | −₹28,629 | −₹4,403 |
| Both years | 104 | +₹55,975 | 28.0% | 40% | 1.38 | −₹28,629 | −₹7,257 |
Cumulative P&L
The cumulative P&L ends at +₹55,975 after 104 trades. Its high was +₹73,412 (2026-02-10); the deepest fall from a high was −₹28,629, from 2026-02-10 to 2026-06-02. Best day: +₹14,253 (2025-01-30); worst day: −₹7,257 (2025-05-15).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹22,351 | −₹2,800 | +₹3,180 | +₹33,244 |
Every trade
104 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2024-10-03 | Stop-loss | −₹2,190 |
| 2024-10-10 | Closed at the exit time | +₹2,225 |
| 2024-10-17 | Closed at the exit time | −₹374 |
| 2024-10-24 | Closed at the exit time | +₹5,975 |
| 2024-10-31 | Stop-loss | −₹1,417 |
| 2024-11-07 | Closed at the exit time | +₹3,026 |
| 2024-11-14 | Closed at the exit time | +₹4,011 |
| 2024-11-21 | Closed at the exit time | +₹1,992 |
| 2024-11-28 | Stop-loss | −₹3,013 |
| 2024-12-05 | Stop-loss | −₹6,765 |
| 2024-12-12 | Stop-loss | −₹1,906 |
| 2024-12-19 | Closed at the exit time | +₹6,252 |
| 2025-01-02 | Stop-loss | −₹3,345 |
| 2025-01-09 | Stop-loss | −₹4,579 |
| 2025-01-16 | Closed at the exit time | +₹4,316 |
| 2025-01-23 | Closed at the exit time | +₹5,578 |
| 2025-01-30 | Closed at the exit time | +₹14,253 |
| 2025-02-06 | Closed at the exit time | +₹3,409 |
| 2025-02-13 | Stop-loss | −₹2,541 |
| 2025-02-20 | Closed at the exit time | +₹6,490 |
| 2025-02-27 | Closed at the exit time | +₹2,987 |
| 2025-03-06 | Stop-loss | −₹4,243 |
| 2025-03-13 | Stop-loss | −₹2,067 |
| 2025-03-20 | Stop-loss | −₹1,867 |
| 2025-03-27 | Closed at the exit time | +₹6,143 |
| 2025-04-03 | Stop-loss | −₹1,547 |
| 2025-04-09 | Closed at the exit time | +₹10,398 |
| 2025-04-17 | Stop-loss | −₹1,974 |
| 2025-04-24 | Closed at the exit time | +₹4,825 |
| 2025-04-30 | Stop-loss | −₹1,622 |
| 2025-05-08 | Stop-loss | −₹1,348 |
| 2025-05-15 | Stop-loss | −₹7,257 |
| 2025-05-22 | Stop-loss | −₹2,851 |
| 2025-05-29 | Stop-loss | −₹2,112 |
| 2025-06-05 | Stop-loss | −₹1,937 |
| 2025-06-12 | Stop-loss | −₹2,163 |
| 2025-06-19 | Closed at the exit time | +₹651 |
| 2025-06-26 | Closed at the exit time | −₹849 |
| 2025-07-03 | Stop-loss | −₹3,121 |
| 2025-07-10 | Closed at the exit time | +₹302 |
| 2025-07-17 | Stop-loss | −₹1,285 |
| 2025-07-24 | Stop-loss | −₹1,417 |
| 2025-07-31 | Stop-loss | −₹1,819 |
| 2025-08-07 | Stop-loss | −₹1,539 |
| 2025-08-14 | Closed at the exit time | +₹5,201 |
| 2025-08-21 | Closed at the exit time | +₹3,903 |
| 2025-08-28 | Stop-loss | −₹1,566 |
| 2025-09-02 | Stop-loss | −₹1,534 |
| 2025-09-09 | Closed at the exit time | +₹4,625 |
| 2025-09-16 | Closed at the exit time | −₹309 |
| 2025-09-23 | Stop-loss | −₹2,215 |
| 2025-09-30 | Closed at the exit time | +₹4,941 |
| 2025-10-07 | Stop-loss | −₹1,784 |
| 2025-10-14 | Stop-loss | −₹2,679 |
| 2025-10-20 | Closed at the exit time | +₹6,542 |
| 2025-10-28 | Closed at the exit time | +₹8,632 |
| 2025-11-04 | Closed at the exit time | +₹266 |
| 2025-11-11 | Stop-loss | −₹1,951 |
| 2025-11-18 | Closed at the exit time | +₹6,891 |
| 2025-11-25 | Stop-loss | −₹2,240 |
| 2025-12-02 | Closed at the exit time | +₹1,798 |
| 2025-12-09 | Stop-loss | −₹2,361 |
| 2025-12-16 | Closed at the exit time | +₹4,001 |
| 2025-12-23 | Closed at the exit time | +₹3,530 |
| 2025-12-30 | Closed at the exit time | +₹4,783 |
| 2026-01-06 | Stop-loss | −₹1,877 |
| 2026-01-13 | Stop-loss | −₹2,933 |
| 2026-01-20 | Stop-loss | −₹2,676 |
| 2026-01-27 | Closed at the exit time | +₹7,310 |
| 2026-02-03 | Closed at the exit time | +₹13,563 |
| 2026-02-10 | Closed at the exit time | +₹5,866 |
| 2026-02-17 | Stop-loss | −₹1,789 |
| 2026-02-24 | Stop-loss | −₹2,520 |
| 2026-03-02 | Stop-loss | −₹2,841 |
| 2026-03-10 | Stop-loss | −₹2,948 |
| 2026-03-17 | Stop-loss | −₹2,937 |
| 2026-03-24 | Stop-loss | −₹4,403 |
| 2026-03-30 | Stop-loss | −₹3,998 |
| 2026-04-07 | Closed at the exit time | −₹1,390 |
| 2026-04-13 | Stop-loss | −₹2,656 |
| 2026-04-21 | Closed at the exit time | +₹3,340 |
| 2026-04-28 | Stop-loss | −₹1,958 |
| 2026-05-05 | Stop-loss | −₹2,234 |
| 2026-05-12 | Stop-loss | −₹2,239 |
| 2026-05-19 | Closed at the exit time | +₹4,123 |
| 2026-05-26 | Stop-loss | −₹2,086 |
| 2026-06-02 | Stop-loss | −₹2,093 |
| 2026-06-09 | Closed at the exit time | +₹4,258 |
| 2026-06-16 | Closed at the exit time | +₹3,926 |
| 2026-06-23 | Stop-loss | −₹2,946 |
| 2026-06-30 | Closed at the exit time | +₹6,941 |
| 2026-07-07 | Closed at the exit time | +₹2,168 |
| 2026-07-14 | Closed at the exit time | +₹4,404 |
| 2026-07-21 | Stop-loss | −₹1,547 |
| 2026-07-28 | Closed at the exit time | +₹2,859 |
| 2026-08-04 | Stop-loss | −₹2,177 |
| 2026-08-11 | Closed at the exit time | +₹4,676 |
| 2026-08-18 | Stop-loss | −₹2,216 |
| 2026-08-25 | Stop-loss | −₹1,455 |
| 2026-09-01 | Stop-loss | −₹1,802 |
| 2026-09-08 | Closed at the exit time | +₹1,648 |
| 2026-09-15 | Stop-loss | −₹2,468 |
| 2026-09-22 | Stop-loss | −₹1,712 |
| 2026-09-29 | Stop-loss | −₹3,365 |
What is a Nifty short straddle on expiry day?
A short straddle sells the at-the-money (ATM) call and the ATM put of the same strike and expiry. The seller collects both premiums and keeps them if Nifty stays near that strike, because both options lose time value (theta decay) as expiry approaches.
This version trades only the weekly Nifty expiry day, entering at 10:00, when the remaining premium decays fastest. When the loss on both legs together reaches 20% of the credit, both legs are closed.
NIFTY Expiry-Day Straddle 10:00 backtest results
Over 104 trades from 2024-10-03 to 2026-09-29 at 75 quantity, the NIFTY expiry-day straddle 10:00 returned +₹55,975 after brokerage, taxes and slippage: +₹28,731 in year 1 and +₹27,244 in year 2. It won 40% of trades, had a profit factor of 1.38 and a worst drawdown of −₹28,629. That is 14.1% a year on an estimated ₹2,00,000 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.
When the straddle works and when it does not
A straddle earns on quiet, range-bound expiry days and loses when Nifty trends hard in one direction. Because the strikes are at the money, even a moderate move puts one leg deep in the money, which is why the stop-loss on combined premium matters more than any other setting.
Risks of selling a Nifty straddle
Without a stop a short straddle has unlimited risk on both sides. Gap moves, event days and late-session trends are the usual losers. Margin for a naked short straddle is high, about ₹2,00,000 here, so returns are measured on that capital, not on the premium collected.
Frequently asked questions
Is the NIFTY expiry-day straddle 10:00 profitable?
In this two-year backtest it made money in both years: +₹28,731 in year 1 and +₹27,244 in year 2, +₹55,975 in total after costs at 75 quantity, with a 40% win rate. Past results do not guarantee future returns.
How much capital does the NIFTY expiry-day straddle 10:00 need?
About ₹2,00,000 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 20% 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.