Weekly carry · NIFTY · held overnight
NIFTY Weekly Strangle Ladder Under review
Under review. Profitable in both years, but the profit comes from selling more premium rather than the take-profit rule, and the drawdown is deep. +₹2,84,056 net over 104 trades (2024-09-26 to 2026-09-29, 65 quantity), 69% win rate, max drawdown −₹98,333, 23.6% a year on ₹6,00,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with NIFTY at 25,000: sell 25400 CE at ₹40, sell 24600 PE at ₹40, sell 25250 CE at ₹40, sell 24750 PE at ₹40, sell 25150 CE at ₹40, sell 24850 PE at ₹40. All 3 rungs open, before any take-profit, redeploy or roll: Wednesday 25400 CE + 24600 PE, Friday 25250 CE + 24750 PE, Monday 25150 CE + 24850 PE, each leg ~₹40 (typical distances from the 2-year data: 1.6%, 1.0% and 0.6% from spot).
How it trades
- Week: every NIFTY weekly expiry (Tuesday; Thursday before Sep 2025). Three short strangles ("rungs") on the same expiry, opened on different days.
- Wednesday 09:20 (4 sessions before expiry): rung 1, sell the OTM call and put each priced closest to ₹40 (e.g. 25400 CE + 24600 PE with NIFTY at 25,000; ≈₹80 × 65 = ₹5,200 credit). In a holiday week it goes on the first session.
- Friday 09:20 (2 sessions before): rung 2, another ₹40 strangle, closer to spot (e.g. 25250 CE + 24750 PE). Rungs 1 and 2 are held over the weekend.
- Monday 09:20 (1 session before): rung 3, another ₹40 strangle, closest to spot (e.g. 25150 CE + 24850 PE). All 3 are now open.
- Every hour 10:00-15:00, each rung on its own. Take-profit: if its two legs are worth 30% or less of what they were sold for (e.g. sold ₹80, now ≤ ₹24), buy both back at the next minute.
- Redeploy: in that same minute sell a fresh strangle at ₹50 a leg; once per rung, allowed on Tuesday before 15:00.
- Roll (Wednesday-Monday only): if NIFTY has moved past a sold strike, close that leg and sell a new ₹40 leg on the same side; at most 2 rolls per side per rung.
- No stop-loss. Tuesday 15:00: everything still open is closed at market.
- Size: 1 lot (65 qty) per leg; at most 3 strangles open, ≈₹6L margin. Costs: Zerodha-style charges and 0.5 point slippage on every fill.
Year 1 vs year 2
| Period | Trades | Net P&L | Return (₹6,00,000) | Win rate | Profit factor | Max drawdown | Worst week |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 52 | +₹1,35,057 | 22.5% | 67% | 1.40 | −₹98,333 | −₹47,748 |
| Year 2 (test) | 52 | +₹1,48,999 | 24.8% | 71% | 1.64 | −₹82,499 | −₹62,004 |
| Both years | 104 | +₹2,84,056 | 47.3% | 69% | 1.50 | −₹98,333 | −₹62,004 |
Cumulative P&L
The cumulative P&L ends at +₹2,84,056 after 104 trades. Its high was +₹3,00,468 (2026-09-22); the deepest fall from a high was −₹98,333, from 2025-02-27 to 2025-04-17. Best week: +₹24,573 (2025-05-29); worst week: −₹62,004 (2026-03-02).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | −₹78,203 | +₹1,38,589 | +₹1,56,162 | +₹67,508 |
Every trade
104 trades
| Expiry | Exit | Net P&L |
|---|---|---|
| 2024-10-03 | Held to expiry | −₹46,972 |
| 2024-10-10 | Held to expiry | +₹18,737 |
| 2024-10-17 | Held to expiry | −₹6,721 |
| 2024-10-24 | Held to expiry | +₹9,969 |
| 2024-10-31 | Held to expiry | +₹9,820 |
| 2024-11-07 | Held to expiry | +₹21,109 |
| 2024-11-14 | Held to expiry | −₹9,635 |
| 2024-11-21 | Held to expiry | +₹5,137 |
| 2024-11-28 | Held to expiry | −₹15,736 |
| 2024-12-05 | Held to expiry | +₹8,427 |
| 2024-12-12 | Held to expiry | +₹20,906 |
| 2024-12-19 | Held to expiry | −₹11,619 |
| 2025-01-02 | Held to expiry | −₹47,748 |
| 2025-01-09 | Held to expiry | +₹3,061 |
| 2025-01-16 | Held to expiry | +₹11,708 |
| 2025-01-23 | Held to expiry | +₹15,652 |
| 2025-01-30 | Held to expiry | +₹22,042 |
| 2025-02-06 | Held to expiry | +₹7,427 |
| 2025-02-13 | Held to expiry | +₹202 |
| 2025-02-20 | Held to expiry | +₹22,441 |
| 2025-02-27 | Held to expiry | +₹19,120 |
| 2025-03-06 | Held to expiry | −₹28,514 |
| 2025-03-13 | Held to expiry | +₹2,601 |
| 2025-03-20 | Held to expiry | −₹40,752 |
| 2025-03-27 | Held to expiry | −₹3,043 |
| 2025-04-03 | Held to expiry | +₹13,359 |
| 2025-04-09 | Held to expiry | −₹20,797 |
| 2025-04-17 | Held to expiry | −₹21,187 |
| 2025-04-24 | Held to expiry | +₹11,117 |
| 2025-04-30 | Held to expiry | +₹19,515 |
| 2025-05-08 | Held to expiry | +₹10,746 |
| 2025-05-15 | Held to expiry | −₹11,625 |
| 2025-05-22 | Held to expiry | +₹17,482 |
| 2025-05-29 | Held to expiry | +₹24,573 |
| 2025-06-05 | Held to expiry | +₹22,816 |
| 2025-06-12 | Held to expiry | −₹11,443 |
| 2025-06-19 | Held to expiry | +₹21,886 |
| 2025-06-26 | Held to expiry | −₹26,868 |
| 2025-07-03 | Held to expiry | +₹11,557 |
| 2025-07-10 | Held to expiry | +₹16,301 |
| 2025-07-17 | Held to expiry | +₹14,111 |
| 2025-07-24 | Held to expiry | −₹203 |
| 2025-07-31 | Held to expiry | +₹11,859 |
| 2025-08-07 | Held to expiry | +₹17,551 |
| 2025-08-14 | Held to expiry | +₹18,887 |
| 2025-08-21 | Held to expiry | +₹10,491 |
| 2025-08-28 | Held to expiry | −₹30,893 |
| 2025-09-02 | Held to expiry | +₹9,081 |
| 2025-09-09 | Held to expiry | −₹2,270 |
| 2025-09-16 | Held to expiry | +₹9,642 |
| 2025-09-23 | Held to expiry | +₹10,518 |
| 2025-09-30 | Held to expiry | +₹1,232 |
| 2025-10-07 | Held to expiry | −₹8,374 |
| 2025-10-14 | Held to expiry | +₹18,301 |
| 2025-10-20 | Held to expiry | −₹11,929 |
| 2025-10-28 | Held to expiry | +₹15,747 |
| 2025-11-04 | Held to expiry | +₹2,004 |
| 2025-11-11 | Held to expiry | −₹3,820 |
| 2025-11-18 | Held to expiry | +₹22,882 |
| 2025-11-25 | Held to expiry | +₹611 |
| 2025-12-02 | Held to expiry | −₹1,777 |
| 2025-12-09 | Held to expiry | +₹2,565 |
| 2025-12-16 | Held to expiry | +₹15,684 |
| 2025-12-23 | Held to expiry | +₹8,584 |
| 2025-12-30 | Held to expiry | +₹3,608 |
| 2026-01-06 | Held to expiry | +₹4,105 |
| 2026-01-13 | Held to expiry | −₹6,286 |
| 2026-01-20 | Held to expiry | −₹17,513 |
| 2026-01-27 | Held to expiry | +₹12,346 |
| 2026-02-03 | Held to expiry | −₹25,901 |
| 2026-02-10 | Held to expiry | +₹10,259 |
| 2026-02-17 | Held to expiry | +₹571 |
| 2026-02-24 | Held to expiry | +₹13,382 |
| 2026-03-02 | Held to expiry | −₹62,004 |
| 2026-03-10 | Held to expiry | +₹1,030 |
| 2026-03-17 | Held to expiry | −₹8,383 |
| 2026-03-24 | Held to expiry | +₹6,509 |
| 2026-03-30 | Held to expiry | +₹9,485 |
| 2026-04-07 | Held to expiry | +₹15,205 |
| 2026-04-13 | Held to expiry | +₹13,044 |
| 2026-04-21 | Held to expiry | +₹21,388 |
| 2026-04-28 | Held to expiry | +₹21,022 |
| 2026-05-05 | Held to expiry | +₹24,162 |
| 2026-05-12 | Held to expiry | −₹53,477 |
| 2026-05-19 | Held to expiry | +₹14,504 |
| 2026-05-26 | Held to expiry | +₹9,759 |
| 2026-06-02 | Held to expiry | +₹2,773 |
| 2026-06-09 | Held to expiry | +₹22,639 |
| 2026-06-16 | Held to expiry | −₹3,950 |
| 2026-06-23 | Held to expiry | −₹3,128 |
| 2026-06-30 | Held to expiry | +₹5,074 |
| 2026-07-07 | Held to expiry | +₹5,853 |
| 2026-07-14 | Held to expiry | +₹2,392 |
| 2026-07-21 | Held to expiry | +₹17,980 |
| 2026-07-28 | Held to expiry | +₹10,596 |
| 2026-08-04 | Held to expiry | −₹3,484 |
| 2026-08-11 | Held to expiry | +₹12,573 |
| 2026-08-18 | Held to expiry | +₹10,426 |
| 2026-08-25 | Held to expiry | +₹8,517 |
| 2026-09-01 | Held to expiry | +₹1,247 |
| 2026-09-08 | Held to expiry | +₹1,010 |
| 2026-09-15 | Held to expiry | −₹6,601 |
| 2026-09-22 | Held to expiry | +₹14,201 |
| 2026-09-29 | Held to expiry | −₹16,412 |
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 (4 sessions before expiry): rung 1, sell the OTM call and put each priced closest to ₹40 (e.g. 25400 CE + 24600 PE with NIFTY at 25,000; ≈₹80 × 65 = ₹5,200 credit). In a holiday week it goes on the first session.
NIFTY Weekly Strangle Ladder backtest results
Over 104 trades from 2024-09-26 to 2026-09-29 at 65 quantity, the NIFTY weekly strangle ladder returned +₹2,84,056 after brokerage, taxes and slippage: +₹1,35,057 in year 1 and +₹1,48,999 in year 2. It won 69% of trades, had a profit factor of 1.50 and a worst drawdown of −₹98,333. That is 23.6% a year on an estimated ₹6,00,000 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 ₹6,00,000.
Frequently asked questions
Is the NIFTY weekly strangle ladder profitable?
In this two-year backtest it made money in both years: +₹1,35,057 in year 1 and +₹1,48,999 in year 2, +₹2,84,056 in total after costs at 65 quantity, with a 69% win rate. Past results do not guarantee future returns.
How much capital does the NIFTY weekly strangle ladder need?
About ₹6,00,000 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 2024-09-26 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.