Monthly · NIFTY · held overnight
NIFTY Monthly Strangle 28 DTE Passed both years
Passed both years. Profitable in both years; it holds about 16 nights, so overnight gaps can jump past the stop. +₹1,93,695 net over 23 trades (2024-10-31 to 2026-09-29, 75 quantity), 70% win rate, max drawdown −₹44,805, 67.6% a year on ₹1,50,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: sell 25650 CE at ₹137.75, sell 24500 PE at ₹140.4. Typical strikes and premiums at entry over the 2 years: monthly call ~2.6% above (₹138) + put ~2.1% below (₹140), 28 days before expiry.
How it trades
- Day: NIFTY monthly contract, entered on the first trading day 28 or fewer calendar days before expiry, and held overnight until exit.
- Entry: 09:45, at that minute's open price.
- Legs: Sell the out-of-the-money call and put each priced closest to 20% of the ATM straddle's price.
- Stop-loss: exit every leg when the combined loss reaches 75% of the premium collected (checked each minute, including the first minute after an overnight gap).
- Exit: anything still open is closed on expiry day at 15:00, before the closing auction.
- 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 (₹1,50,000) | Win rate | Profit factor | Max drawdown | Worst month |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 11 | +₹1,00,236 | 66.8% | 73% | 2.65 | −₹44,805 | −₹29,894 |
| Year 2 (test) | 12 | +₹93,459 | 62.3% | 67% | 2.15 | −₹33,027 | −₹33,027 |
| Both years | 23 | +₹1,93,695 | 129.1% | 70% | 2.36 | −₹44,805 | −₹33,027 |
Cumulative P&L
The cumulative P&L ends at +₹1,93,695 after 23 trades. Its high was +₹2,14,971 (2026-08-25); the deepest fall from a high was −₹44,805, from 2025-02-27 to 2025-04-30. Best month: +₹28,545 (2025-02-27); worst month: −₹33,027 (2026-03-30).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹7,261 | +₹91,236 | +₹62,069 | +₹33,129 |
Every trade
23 trades
| Expiry | Exit | Net P&L |
|---|---|---|
| 2024-10-31 | Stop-loss | −₹15,927 |
| 2024-11-28 | Held to expiry | +₹24,916 |
| 2025-01-30 | Held to expiry | +₹14,510 |
| 2025-02-27 | Held to expiry | +₹28,545 |
| 2025-03-27 | Stop-loss | −₹14,911 |
| 2025-04-30 | Stop-loss | −₹29,894 |
| 2025-05-29 | Held to expiry | +₹25,287 |
| 2025-06-26 | Held to expiry | +₹24,712 |
| 2025-07-31 | Held to expiry | +₹8,186 |
| 2025-08-28 | Held to expiry | +₹18,112 |
| 2025-09-30 | Held to expiry | +₹16,700 |
| 2025-10-28 | Stop-loss | −₹14,054 |
| 2025-11-25 | Held to expiry | +₹20,475 |
| 2025-12-30 | Held to expiry | +₹17,719 |
| 2026-01-27 | Stop-loss | −₹12,926 |
| 2026-02-24 | Held to expiry | +₹25,070 |
| 2026-03-30 | Stop-loss | −₹33,027 |
| 2026-04-28 | Held to expiry | +₹21,138 |
| 2026-05-26 | Held to expiry | +₹27,096 |
| 2026-06-30 | Held to expiry | +₹22,897 |
| 2026-07-28 | Held to expiry | +₹20,864 |
| 2026-08-25 | Held to expiry | +₹19,483 |
| 2026-09-29 | Stop-loss | −₹21,276 |
What is a Nifty short strangle on the monthly contract?
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 monthly strangle sells the Nifty monthly contract about 28 days before expiry, picking strikes priced close to 20% of the ATM straddle, a distance that adapts to volatility. It is held overnight and closed on expiry day at 3:00 PM unless the 75% stop-loss on combined premium hits first.
NIFTY Monthly Strangle 28 DTE backtest results
Over 23 trades from 2024-10-31 to 2026-09-29 at 75 quantity, the NIFTY monthly strangle 28 DTE returned +₹1,93,695 after brokerage, taxes and slippage: +₹1,00,236 in year 1 and +₹93,459 in year 2. It won 70% of trades, had a profit factor of 2.36 and a worst drawdown of −₹44,805. That is 67.6% a year on an estimated ₹1,50,000 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 sell a monthly strangle instead of a weekly one
Monthly options carry more premium and decay more slowly than weekly options, so a monthly strangle can sit through normal daily swings and still collect most of its credit by expiry. The trade-off is time in the market, with every night exposed to a gap.
Risks of selling a Nifty strangle
The biggest risk for a strangle held overnight is a gap: Nifty can open far beyond the stop level, so the realised loss can exceed the stop. Capital assumed is about ₹1,50,000.
Frequently asked questions
Is the NIFTY monthly strangle 28 DTE profitable?
In this two-year backtest it made money in both years: +₹1,00,236 in year 1 and +₹93,459 in year 2, +₹1,93,695 in total after costs at 75 quantity, with a 70% win rate. Past results do not guarantee future returns.
How much capital does the NIFTY monthly strangle 28 DTE need?
About ₹1,50,000 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 75% of the premium collected, checked every minute.
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 2024-10-31 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.