Expiry day · NIFTY · intraday
NIFTY Expiry-Day Strangle Passed both years
Passed both years. Profitable in both years, with the smallest drawdown of the expiry-day strategies. +₹63,106 net over 104 trades (2024-10-03 to 2026-09-29, 75 quantity), 44% win rate, max drawdown −₹8,337, 15.9% a year on ₹2,00,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: sell 25100 CE at ₹24.45, sell 24900 PE at ₹23.55. Typical strikes and premiums at entry over the 2 years: call ~0.35% above spot (₹24.5) + put ~0.31% below (₹23.6) at 09:45 on expiry day.
How it trades
- Day: NIFTY weekly expiry day only.
- Entry: 09:45, at that minute's open price.
- Legs: Sell the out-of-the-money call and put whose price is closest to ₹25 each.
- Stop-loss: exit every leg when the combined loss reaches 40% of the premium collected (checked each minute).
- Breakeven stop: once profit reaches 30% of the premium, the stop moves to breakeven.
- 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 | +₹33,190 | 16.6% | 46% | 1.86 | −₹8,337 | −₹2,615 |
| Year 2 (test) | 52 | +₹29,916 | 15.0% | 42% | 1.90 | −₹7,639 | −₹2,558 |
| Both years | 104 | +₹63,106 | 31.6% | 44% | 1.88 | −₹8,337 | −₹2,615 |
Cumulative P&L
The cumulative P&L ends at +₹63,106 after 104 trades. Its high was +₹70,745 (2026-08-11); the deepest fall from a high was −₹8,337, from 2025-05-22 to 2025-08-07. Best day: +₹3,897 (2025-05-22); worst day: −₹2,615 (2025-01-02).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹28,885 | +₹9,315 | +₹898 | +₹24,008 |
Every trade
104 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2024-10-03 | Breakeven stop | −₹300 |
| 2024-10-10 | Stop-loss | −₹2,059 |
| 2024-10-17 | Closed at the exit time | +₹2,837 |
| 2024-10-24 | Closed at the exit time | +₹3,586 |
| 2024-10-31 | Closed at the exit time | +₹3,013 |
| 2024-11-07 | Stop-loss | −₹2,000 |
| 2024-11-14 | Closed at the exit time | +₹3,747 |
| 2024-11-21 | Closed at the exit time | +₹3,160 |
| 2024-11-28 | Breakeven stop | −₹1,726 |
| 2024-12-05 | Stop-loss | −₹2,476 |
| 2024-12-12 | Stop-loss | −₹1,586 |
| 2024-12-19 | Closed at the exit time | +₹3,796 |
| 2025-01-02 | Stop-loss | −₹2,615 |
| 2025-01-09 | Stop-loss | −₹2,116 |
| 2025-01-16 | Closed at the exit time | +₹2,774 |
| 2025-01-23 | Closed at the exit time | +₹2,819 |
| 2025-01-30 | Closed at the exit time | +₹3,478 |
| 2025-02-06 | Closed at the exit time | +₹3,111 |
| 2025-02-13 | Closed at the exit time | +₹3,601 |
| 2025-02-20 | Closed at the exit time | +₹3,272 |
| 2025-02-27 | Closed at the exit time | +₹1,606 |
| 2025-03-06 | Breakeven stop | −₹2,444 |
| 2025-03-13 | Stop-loss | −₹1,269 |
| 2025-03-20 | Breakeven stop | −₹263 |
| 2025-03-27 | Closed at the exit time | +₹3,231 |
| 2025-04-03 | Closed at the exit time | +₹2,909 |
| 2025-04-09 | Closed at the exit time | +₹3,703 |
| 2025-04-17 | Breakeven stop | −₹303 |
| 2025-04-24 | Closed at the exit time | +₹3,130 |
| 2025-04-30 | Stop-loss | −₹1,115 |
| 2025-05-08 | Breakeven stop | −₹567 |
| 2025-05-15 | Stop-loss | −₹1,880 |
| 2025-05-22 | Closed at the exit time | +₹3,897 |
| 2025-05-29 | Stop-loss | −₹1,872 |
| 2025-06-05 | Breakeven stop | −₹299 |
| 2025-06-12 | Breakeven stop | −₹937 |
| 2025-06-19 | Closed at the exit time | +₹2,425 |
| 2025-06-26 | Stop-loss | −₹1,755 |
| 2025-07-03 | Stop-loss | −₹1,890 |
| 2025-07-10 | Closed at the exit time | +₹1,166 |
| 2025-07-17 | Breakeven stop | −₹553 |
| 2025-07-24 | Stop-loss | −₹2,274 |
| 2025-07-31 | Breakeven stop | −₹555 |
| 2025-08-07 | Stop-loss | −₹1,793 |
| 2025-08-14 | Closed at the exit time | +₹3,744 |
| 2025-08-21 | Stop-loss | −₹1,818 |
| 2025-08-28 | Breakeven stop | −₹250 |
| 2025-09-02 | Stop-loss | −₹1,453 |
| 2025-09-09 | Closed at the exit time | +₹3,392 |
| 2025-09-16 | Closed at the exit time | +₹91 |
| 2025-09-23 | Breakeven stop | −₹634 |
| 2025-09-30 | Closed at the exit time | +₹3,504 |
| 2025-10-07 | Stop-loss | −₹1,916 |
| 2025-10-14 | Stop-loss | −₹1,906 |
| 2025-10-20 | Closed at the exit time | +₹3,740 |
| 2025-10-28 | Stop-loss | −₹1,903 |
| 2025-11-04 | Breakeven stop | −₹282 |
| 2025-11-11 | Breakeven stop | −₹753 |
| 2025-11-18 | Closed at the exit time | +₹3,294 |
| 2025-11-25 | Closed at the exit time | +₹2,214 |
| 2025-12-02 | Closed at the exit time | +₹3,017 |
| 2025-12-09 | Breakeven stop | −₹256 |
| 2025-12-16 | Closed at the exit time | +₹2,519 |
| 2025-12-23 | Closed at the exit time | +₹3,126 |
| 2025-12-30 | Closed at the exit time | +₹3,122 |
| 2026-01-06 | Closed at the exit time | +₹2,733 |
| 2026-01-13 | Closed at the exit time | +₹3,789 |
| 2026-01-20 | Breakeven stop | −₹1,145 |
| 2026-01-27 | Breakeven stop | −₹371 |
| 2026-02-03 | Closed at the exit time | +₹3,362 |
| 2026-02-10 | Closed at the exit time | +₹3,897 |
| 2026-02-17 | Stop-loss | −₹1,928 |
| 2026-02-24 | Breakeven stop | −₹710 |
| 2026-03-02 | Breakeven stop | −₹273 |
| 2026-03-10 | Closed at the exit time | +₹3,257 |
| 2026-03-17 | Stop-loss | −₹1,669 |
| 2026-03-24 | Breakeven stop | −₹450 |
| 2026-03-30 | Closed at the exit time | +₹3,208 |
| 2026-04-07 | Breakeven stop | −₹299 |
| 2026-04-13 | Stop-loss | −₹2,077 |
| 2026-04-21 | Closed at the exit time | +₹1,700 |
| 2026-04-28 | Breakeven stop | −₹597 |
| 2026-05-05 | Breakeven stop | −₹461 |
| 2026-05-12 | Breakeven stop | −₹1,411 |
| 2026-05-19 | Closed at the exit time | +₹1,666 |
| 2026-05-26 | Breakeven stop | −₹552 |
| 2026-06-02 | Breakeven stop | −₹589 |
| 2026-06-09 | Closed at the exit time | +₹2,635 |
| 2026-06-16 | Closed at the exit time | +₹2,939 |
| 2026-06-23 | Breakeven stop | −₹307 |
| 2026-06-30 | Breakeven stop | −₹668 |
| 2026-07-07 | Closed at the exit time | +₹2,946 |
| 2026-07-14 | Closed at the exit time | +₹2,856 |
| 2026-07-21 | Stop-loss | −₹2,558 |
| 2026-07-28 | Closed at the exit time | +₹2,946 |
| 2026-08-04 | Stop-loss | −₹1,612 |
| 2026-08-11 | Closed at the exit time | +₹3,282 |
| 2026-08-18 | Stop-loss | −₹1,540 |
| 2026-08-25 | Breakeven stop | −₹265 |
| 2026-09-01 | Stop-loss | −₹1,781 |
| 2026-09-08 | Closed at the exit time | +₹950 |
| 2026-09-15 | Stop-loss | −₹1,469 |
| 2026-09-22 | Stop-loss | −₹1,820 |
| 2026-09-29 | Stop-loss | −₹1,714 |
What is a Nifty short strangle on expiry day?
A short strangle sells an out-of-the-money (OTM) call above the market and an OTM put below it. It collects less premium than a straddle but gives Nifty room to move before either leg is threatened, which usually means a higher win rate and smaller losses.
This expiry-day strangle enters at 09:45 on the weekly Nifty expiry and sells the OTM call and put trading closest to ₹25 each. A 40% stop-loss on combined premium protects against a breakout, and the stop moves to breakeven once the trade is up 30%.
NIFTY Expiry-Day Strangle backtest results
Over 104 trades from 2024-10-03 to 2026-09-29 at 75 quantity, the NIFTY expiry-day strangle returned +₹63,106 after brokerage, taxes and slippage: +₹33,190 in year 1 and +₹29,916 in year 2. It won 44% of trades, had a profit factor of 1.88 and a worst drawdown of −₹8,337. That is 15.9% 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.
Why an OTM strangle suits Nifty expiry day
On expiry day Nifty options lose value quickly, and OTM options that started the day at a few rupees often expire worthless. Selling them early captures that decay while leaving a cushion before a leg goes in the money.
Risks of selling a Nifty strangle
Sharp expiry-day trends can push one leg in the money within minutes; the combined stop limits that but cannot prevent slippage on fast moves. Capital assumed is about ₹2,00,000.
Frequently asked questions
Is the NIFTY expiry-day strangle profitable?
In this two-year backtest it made money in both years: +₹33,190 in year 1 and +₹29,916 in year 2, +₹63,106 in total after costs at 75 quantity, with a 44% win rate. Past results do not guarantee future returns.
How much capital does the NIFTY expiry-day strangle 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 40% 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.