NIFTY Weekly Strangle ₹15 Passed both years

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; ≈₹30 × 65 = ₹1,950 credit).

NIFTY Weekly Strangle ₹15 backtest results

Over 104 trades from 2024-09-20 to 2026-09-29 at 65 quantity, the NIFTY weekly strangle ₹15 returned +₹96,821 after brokerage, taxes and slippage: +₹49,042 in year 1 and +₹47,779 in year 2. It won 91% of trades, had a profit factor of 2.61 and a worst drawdown of −₹18,433. That is 23.9% 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.

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 ₹2,00,000.