Weekly carry · NIFTY · held overnight

NIFTY Strangle Take-Profit Re-sell Rejected

Rejected. The take-profit rule was the best of many tried on year 1, then trailed simply holding the strangle in year 2. +₹1,36,598 net over 104 trades (2024-09-26 to 2026-09-29, 65 quantity), 73% win rate, max drawdown −₹51,659, 34.0% a year on ₹2,00,000 capital, after all costs and slippage.

Data to · page updated

Net P&L+₹1,36,598both years
Return / year34.0%on ₹2,00,000 capital
Win rate73%104 trades
Profit factor1.45gross wins ÷ gross losses
Max drawdown−₹51,659peak to trough
Worst week−₹29,957best +₹9,894

Payoff

Net credit₹5,200one position, 65 qty
Max profit₹5,200at expiry
Max lossUnlimitedno stop-loss
Breakeven24,520 / 25,480NIFTY at expiry

Illustrated with NIFTY at 25,000: sell 25400 CE at ₹40, sell 24600 PE at ₹40. The first strangle as sold at 09:20 on the first session of the week: 25400 CE + 24600 PE, ~₹40 each (~1.6% from spot, typical over the 2 years). After a take-profit the re-sold strangle sits ~0.6% from spot (e.g. 25150 CE + 24850 PE) into expiry.

On expiry3 days before expiryRule exitsBreakeven

The first strangle as sold at 09:20 on the first session of the week: 25400 CE + 24600 PE, ~₹40 each (~1.6% from spot, typical over the 2 years). After a take-profit the re-sold strangle sits ~0.6% from spot (e.g. 25150 CE + 24850 PE) into expiry. Dashed lines: TP = take-profit checked at 15:00 the day before expiry: close at 80% of the credit kept, then re-sell (+₹4,160). Max loss is unlimited: the loss keeps growing past the chart edge. Illustrated with NIFTY at 25,000, 65 qty, before charges.

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): 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). Strikes picked on the 09:19 prices. If that session has no 09:20 bar (Muhurat), the next session.
  • Hold Wednesday → Monday, including the weekend. No stop-loss, no adjustment.
  • Monday 15:00 (session before expiry), the only check: if the strangle is now worth 20% or less of what it was sold for (80% of the credit kept, e.g. sold ₹80, now ≤ ₹16), buy both legs back at the 15:00 open.
  • Re-sell: in that same minute sell a fresh ₹40 strangle (closer to spot, e.g. 25150 CE + 24850 PE) and hold it overnight into Tuesday.
  • Otherwise keep the first strangle. Tuesday 15:00: everything open is closed at market.
  • Size: 1 lot (65 qty) per leg, one strangle open at a time, ≈₹2L margin. Costs: Zerodha-style charges and 0.5 point slippage on every fill.

Year 1 vs year 2

PeriodTradesNet P&LReturn (₹2,00,000)Win rateProfit factorMax drawdownWorst week
Year 1 (to 2025-09-30)52+₹90,38045.2%75%1.62−₹51,659−₹24,546
Year 2 (test)52+₹46,21823.1%71%1.29−₹47,271−₹29,957
Both years104+₹1,36,59868.3%73%1.45−₹51,659−₹29,957

Cumulative P&L

The cumulative P&L ends at +₹1,36,598 after 104 trades. Its high was +₹1,63,415 (2026-08-25); the deepest fall from a high was −₹51,659, from 2025-03-13 to 2025-04-17. Best week: +₹9,894 (2024-10-10); worst week: −₹29,957 (2026-02-03).

104 weeksEnd +₹1,36,598Peak +₹1,63,415Max drawdown -₹51,659

P&L by quarter

QuarterJan–MarApr–JunJul–SepOct–Dec
Net P&L+₹3,483+₹42,293+₹56,157+₹34,665

Every trade

104 trades
ExpiryExitNet P&L
2024-10-03Held to expiry−₹21,007
2024-10-10Take-profit, then re-sold+₹9,894
2024-10-17Take-profit, then re-sold−₹3,843
2024-10-24Take-profit, then re-sold+₹8,446
2024-10-31Take-profit, then re-sold+₹3,299
2024-11-07Held to expiry+₹5,091
2024-11-14Held to expiry+₹3,527
2024-11-21Held to expiry+₹5,273
2024-11-28Held to expiry−₹1,730
2024-12-05Held to expiry−₹312
2024-12-12Take-profit, then re-sold+₹9,098
2024-12-19Held to expiry+₹1,275
2025-01-02Held to expiry+₹4,545
2025-01-09Held to expiry−₹4,363
2025-01-16Held to expiry+₹5,059
2025-01-23Take-profit, then re-sold+₹8,644
2025-01-30Held to expiry+₹5,153
2025-02-06Take-profit, then re-sold+₹5,027
2025-02-13Held to expiry+₹4,345
2025-02-20Take-profit, then re-sold+₹8,503
2025-02-27Held to expiry+₹5,224
2025-03-06Take-profit, then re-sold+₹2,748
2025-03-13Take-profit, then re-sold+₹8,611
2025-03-20Held to expiry−₹24,546
2025-03-27Held to expiry−₹2,197
2025-04-03Held to expiry+₹4,597
2025-04-09Held to expiry−₹11,448
2025-04-17Held to expiry−₹18,065
2025-04-24Held to expiry+₹4,754
2025-04-30Take-profit, then re-sold+₹8,237
2025-05-08Held to expiry+₹4,699
2025-05-15Held to expiry−₹17,483
2025-05-22Take-profit, then re-sold+₹8,288
2025-05-29Held to expiry+₹4,942
2025-06-05Take-profit, then re-sold+₹9,386
2025-06-12Held to expiry+₹4,994
2025-06-19Take-profit, then re-sold+₹9,568
2025-06-26Held to expiry−₹14,244
2025-07-03Take-profit, then re-sold+₹8,036
2025-07-10Take-profit, then re-sold+₹6,529
2025-07-17Take-profit, then re-sold+₹3,006
2025-07-24Held to expiry+₹5,176
2025-07-31Take-profit, then re-sold+₹8,506
2025-08-07Take-profit, then re-sold+₹8,633
2025-08-14Take-profit, then re-sold+₹8,854
2025-08-21Take-profit, then re-sold+₹7,964
2025-08-28Held to expiry−₹13,727
2025-09-02Held to expiry+₹4,942
2025-09-09Held to expiry+₹1,505
2025-09-16Held to expiry+₹4,360
2025-09-23Held to expiry+₹4,715
2025-09-30Held to expiry−₹12,108
2025-10-07Held to expiry−₹10,544
2025-10-14Held to expiry+₹4,407
2025-10-20Held to expiry−₹16,095
2025-10-28Held to expiry+₹5,007
2025-11-04Held to expiry−₹1,057
2025-11-11Take-profit, then re-sold+₹7,620
2025-11-18Held to expiry+₹5,283
2025-11-25Held to expiry+₹5,332
2025-12-02Held to expiry+₹4,939
2025-12-09Held to expiry+₹4,829
2025-12-16Held to expiry+₹5,533
2025-12-23Held to expiry+₹2,247
2025-12-30Held to expiry−₹1,847
2026-01-06Held to expiry+₹4,387
2026-01-13Held to expiry−₹10,288
2026-01-20Take-profit, then re-sold−₹6,747
2026-01-27Held to expiry+₹4,689
2026-02-03Take-profit, then re-sold−₹29,957
2026-02-10Take-profit, then re-sold+₹8,633
2026-02-17Held to expiry+₹2,815
2026-02-24Held to expiry+₹4,276
2026-03-02Held to expiry−₹20,692
2026-03-10Held to expiry+₹5,014
2026-03-17Held to expiry+₹4,819
2026-03-24Held to expiry+₹5,001
2026-03-30Held to expiry+₹4,780
2026-04-07Take-profit, then re-sold+₹8,958
2026-04-13Held to expiry+₹4,942
2026-04-21Held to expiry+₹4,819
2026-04-28Take-profit, then re-sold+₹9,179
2026-05-05Take-profit, then re-sold+₹8,627
2026-05-12Held to expiry−₹13,220
2026-05-19Take-profit, then re-sold+₹9,595
2026-05-26Held to expiry+₹4,738
2026-06-02Held to expiry+₹1,102
2026-06-09Take-profit, then re-sold+₹8,884
2026-06-16Held to expiry−₹6,828
2026-06-23Take-profit, then re-sold−₹1,920
2026-06-30Held to expiry+₹5,192
2026-07-07Held to expiry−₹1,889
2026-07-14Held to expiry+₹4,423
2026-07-21Take-profit, then re-sold+₹9,270
2026-07-28Take-profit, then re-sold+₹9,714
2026-08-04Held to expiry+₹1,076
2026-08-11Held to expiry+₹4,400
2026-08-18Take-profit, then re-sold+₹3,653
2026-08-25Take-profit, then re-sold+₹5,936
2026-09-01Held to expiry−₹8,824
2026-09-08Take-profit, then re-sold+₹3,954
2026-09-15Held to expiry−₹826
2026-09-22Take-profit, then re-sold+₹5,319
2026-09-29Held to expiry−₹26,440

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): 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). Strikes picked on the 09:19 prices. If that session has no 09:20 bar (Muhurat), the next session.

NIFTY Strangle Take-Profit Re-sell backtest results

Over 104 trades from 2024-09-26 to 2026-09-29 at 65 quantity, the NIFTY strangle take-profit re-sell returned +₹1,36,598 after brokerage, taxes and slippage: +₹90,380 in year 1 and +₹46,218 in year 2. It won 73% of trades, had a profit factor of 1.45 and a worst drawdown of −₹51,659. That is 34.0% 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.

Frequently asked questions

Is the NIFTY strangle take-profit re-sell profitable?

In this two-year backtest it made money in both years: +₹90,380 in year 1 and +₹46,218 in year 2, +₹1,36,598 in total after costs at 65 quantity, with a 73% win rate. Past results do not guarantee future returns.

How much capital does the NIFTY strangle take-profit re-sell need?

About ₹2,00,000 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.

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.