Weekly carry · NIFTY · held overnight
NIFTY Jade Lizard Rejected
Rejected. Rejected: the extra call wing only costs money; the plain ₹15 strangle earned more with the same drawdown. +₹71,560 net over 104 trades (2024-09-20 to 2026-09-29, 65 quantity), 91% win rate, max drawdown −₹18,577, 20.8% a year on ₹1,70,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: sell 25600 CE at ₹15, sell 24300 PE at ₹15, buy 26100 CE at ₹2.8. Sold at 09:20 on the first session of the week and held to expiry: 25600 CE + 24300 PE, ~₹15 each (~2.4% / 2.9% from spot, typical over the 2 years). Plus the 26100 CE bought for ~₹2.8 as the upside wing; the put side stays naked.
How it trades
- Week: every NIFTY weekly expiry (Tuesday; Thursday before Sep 2025), including holiday weeks.
- Wednesday 09:20 (first session after the last expiry; in a holiday week the first real session, Muhurat evening skipped): sell the OTM call and put each priced closest to ₹15 (e.g. 25600 CE + 24300 PE with NIFTY at 25,000).
- Same minute: buy the call 500 points above the sold call (e.g. 26100 CE, ~₹3) as the upside wing. The put side stays naked. Net credit ≈₹27 × 65 ≈ ₹1,750.
- Hold Wednesday → Tuesday, including the weekend. No stop-loss.
- Tuesday 15:00: close all three legs at market.
- Size: 1 lot (65 qty) per leg, ≈₹1.7L margin. Costs: Zerodha-style charges and 0.5 point slippage on every fill.
Year 1 vs year 2
| Period | Trades | Net P&L | Return (₹1,70,000) | Win rate | Profit factor | Max drawdown | Worst week |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 52 | +₹36,989 | 21.8% | 92% | 2.23 | −₹18,577 | −₹18,577 |
| Year 2 (test) | 52 | +₹34,571 | 20.3% | 90% | 2.09 | −₹16,340 | −₹16,340 |
| Both years | 104 | +₹71,560 | 42.1% | 91% | 2.16 | −₹18,577 | −₹18,577 |
Cumulative P&L
The cumulative P&L ends at +₹71,560 after 104 trades. Its high was +₹87,900 (2026-09-22); the deepest fall from a high was −₹18,577, from 2025-03-13 to 2025-03-20. Best week: +₹1,757 (2026-03-10); worst week: −₹18,577 (2025-03-20).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹12,026 | +₹25,601 | +₹12,359 | +₹21,574 |
Every trade
104 trades
| Expiry | Exit | Net P&L |
|---|---|---|
| 2024-10-03 | Held to expiry | +₹1,494 |
| 2024-10-10 | Held to expiry | +₹1,307 |
| 2024-10-17 | Held to expiry | +₹1,517 |
| 2024-10-24 | Held to expiry | +₹1,391 |
| 2024-10-31 | Held to expiry | +₹1,365 |
| 2024-11-07 | Held to expiry | +₹1,394 |
| 2024-11-14 | Held to expiry | +₹1,553 |
| 2024-11-21 | Held to expiry | +₹1,524 |
| 2024-11-28 | Held to expiry | +₹1,316 |
| 2024-12-05 | Held to expiry | +₹821 |
| 2024-12-12 | Held to expiry | +₹1,287 |
| 2024-12-19 | Held to expiry | +₹1,449 |
| 2025-01-02 | Held to expiry | +₹1,391 |
| 2025-01-09 | Held to expiry | +₹1,469 |
| 2025-01-16 | Held to expiry | +₹1,530 |
| 2025-01-23 | Held to expiry | +₹1,514 |
| 2025-01-30 | Held to expiry | +₹1,452 |
| 2025-02-06 | Held to expiry | +₹1,228 |
| 2025-02-13 | Held to expiry | +₹1,456 |
| 2025-02-20 | Held to expiry | +₹1,517 |
| 2025-02-27 | Held to expiry | +₹1,582 |
| 2025-03-06 | Held to expiry | +₹1,573 |
| 2025-03-13 | Held to expiry | +₹1,362 |
| 2025-03-20 | Held to expiry | −₹18,577 |
| 2025-03-27 | Held to expiry | +₹1,465 |
| 2025-04-03 | Held to expiry | +₹1,326 |
| 2025-04-09 | Held to expiry | +₹1,147 |
| 2025-04-17 | Held to expiry | +₹938 |
| 2025-04-24 | Held to expiry | +₹1,397 |
| 2025-04-30 | Held to expiry | +₹1,410 |
| 2025-05-08 | Held to expiry | +₹1,514 |
| 2025-05-15 | Held to expiry | −₹2,966 |
| 2025-05-22 | Held to expiry | +₹1,352 |
| 2025-05-29 | Held to expiry | +₹1,407 |
| 2025-06-05 | Held to expiry | +₹1,423 |
| 2025-06-12 | Held to expiry | +₹1,550 |
| 2025-06-19 | Held to expiry | +₹1,530 |
| 2025-06-26 | Held to expiry | −₹4,719 |
| 2025-07-03 | Held to expiry | +₹1,472 |
| 2025-07-10 | Held to expiry | +₹1,469 |
| 2025-07-17 | Held to expiry | +₹1,433 |
| 2025-07-24 | Held to expiry | +₹1,491 |
| 2025-07-31 | Held to expiry | +₹1,556 |
| 2025-08-07 | Held to expiry | +₹1,329 |
| 2025-08-14 | Held to expiry | +₹1,556 |
| 2025-08-21 | Held to expiry | +₹1,475 |
| 2025-08-28 | Held to expiry | −₹3,854 |
| 2025-09-02 | Held to expiry | +₹1,533 |
| 2025-09-09 | Held to expiry | +₹1,566 |
| 2025-09-16 | Held to expiry | +₹1,543 |
| 2025-09-23 | Held to expiry | +₹1,478 |
| 2025-09-30 | Held to expiry | +₹253 |
| 2025-10-07 | Held to expiry | −₹4,130 |
| 2025-10-14 | Held to expiry | +₹1,465 |
| 2025-10-20 | Held to expiry | −₹6,920 |
| 2025-10-28 | Held to expiry | +₹1,378 |
| 2025-11-04 | Held to expiry | +₹1,452 |
| 2025-11-11 | Held to expiry | +₹1,365 |
| 2025-11-18 | Held to expiry | +₹1,501 |
| 2025-11-25 | Held to expiry | +₹1,511 |
| 2025-12-02 | Held to expiry | +₹1,550 |
| 2025-12-09 | Held to expiry | +₹1,475 |
| 2025-12-16 | Held to expiry | +₹1,475 |
| 2025-12-23 | Held to expiry | +₹1,517 |
| 2025-12-30 | Held to expiry | +₹1,517 |
| 2026-01-06 | Held to expiry | +₹1,449 |
| 2026-01-13 | Held to expiry | −₹3,458 |
| 2026-01-20 | Held to expiry | +₹1,410 |
| 2026-01-27 | Held to expiry | +₹1,381 |
| 2026-02-03 | Held to expiry | +₹1,312 |
| 2026-02-10 | Held to expiry | +₹1,374 |
| 2026-02-17 | Held to expiry | +₹1,462 |
| 2026-02-24 | Held to expiry | +₹1,397 |
| 2026-03-02 | Held to expiry | +₹818 |
| 2026-03-10 | Held to expiry | +₹1,757 |
| 2026-03-17 | Held to expiry | +₹1,433 |
| 2026-03-24 | Held to expiry | +₹1,394 |
| 2026-03-30 | Held to expiry | +₹1,335 |
| 2026-04-07 | Held to expiry | +₹1,205 |
| 2026-04-13 | Held to expiry | +₹1,436 |
| 2026-04-21 | Held to expiry | +₹1,413 |
| 2026-04-28 | Held to expiry | +₹1,501 |
| 2026-05-05 | Held to expiry | +₹1,468 |
| 2026-05-12 | Held to expiry | +₹1,520 |
| 2026-05-19 | Held to expiry | +₹1,329 |
| 2026-05-26 | Held to expiry | +₹1,465 |
| 2026-06-02 | Held to expiry | +₹1,400 |
| 2026-06-09 | Held to expiry | +₹1,413 |
| 2026-06-16 | Held to expiry | +₹1,442 |
| 2026-06-23 | Held to expiry | +₹1,413 |
| 2026-06-30 | Held to expiry | +₹1,287 |
| 2026-07-07 | Held to expiry | +₹1,621 |
| 2026-07-14 | Held to expiry | +₹1,433 |
| 2026-07-21 | Held to expiry | +₹1,391 |
| 2026-07-28 | Held to expiry | +₹1,433 |
| 2026-08-04 | Held to expiry | +₹968 |
| 2026-08-11 | Held to expiry | +₹1,507 |
| 2026-08-18 | Held to expiry | +₹1,537 |
| 2026-08-25 | Held to expiry | +₹1,494 |
| 2026-09-01 | Held to expiry | −₹853 |
| 2026-09-08 | Held to expiry | +₹1,374 |
| 2026-09-15 | Held to expiry | +₹1,000 |
| 2026-09-22 | Held to expiry | +₹1,494 |
| 2026-09-29 | Held to expiry | −₹16,340 |
What is a weekly Nifty strangle held to expiry?
A weekly carry sells an out-of-the-money call and put early in the week and holds them, overnight and over the weekend, until the weekly expiry. Most of the premium decays in the last few sessions, which is what the strategy collects.
This version: Wednesday 09:20 (first session after the last expiry; in a holiday week the first real session, Muhurat evening skipped): sell the OTM call and put each priced closest to ₹15 (e.g. 25600 CE + 24300 PE with NIFTY at 25,000).
NIFTY Jade Lizard backtest results
Over 104 trades from 2024-09-20 to 2026-09-29 at 65 quantity, the NIFTY jade lizard returned +₹71,560 after brokerage, taxes and slippage: +₹36,989 in year 1 and +₹34,571 in year 2. It won 91% of trades, had a profit factor of 2.16 and a worst drawdown of −₹18,577. That is 20.8% a year on an estimated ₹1,70,000 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.
What drives the result
Weekly carry wins most weeks by a small amount and loses rarely but heavily, when Nifty moves several percent in a week. Over the two years tested Nifty fell about 12.6%, which favoured the short-call side, so part of the result reflects that market rather than premium alone.
Risks of holding a short strangle overnight
An overnight gap can open far beyond a strike, and with no stop the loss is only limited at expiry. Capital assumed is about ₹1,70,000.
Frequently asked questions
Is the NIFTY jade lizard profitable?
In this two-year backtest it made money in both years: +₹36,989 in year 1 and +₹34,571 in year 2, +₹71,560 in total after costs at 65 quantity, with a 91% win rate. Past results do not guarantee future returns.
How much capital does the NIFTY jade lizard need?
About ₹1,70,000 for 65 quantity is assumed here. Actual broker margin changes with the index level and volatility.
Does it use a stop-loss?
No stop-loss: positions are held to the exit time or expiry.
Does it hold positions overnight?
Yes. Positions are carried across sessions until expiry, so overnight gap risk is part of the result.
How was this backtest done?
On 1-minute prices of expired NIFTY option contracts from 2024-09-20 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.