Expiry day · SENSEX · intraday
SENSEX ATM Straddle Legs Expiry Day Passed both years
Passed both years. The per-leg-stop straddle on SENSEX expiry day only: modest but positive in both years, where the every-day version never was. +₹42,215 net over 104 trades (2024-10-04 to 2026-10-01, 20 quantity), 63% win rate, max drawdown −₹18,398, 10.6% a year on ₹2,00,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with SENSEX at 80,000: sell 80000 CE at ₹204.5, sell 80000 PE at ₹195.5. Typical premiums at entry over the 2 years: ATM call ₹204.5 + put ₹195.5 at 09:18 on SENSEX expiry day. Each leg also exits alone at +30%.
How it trades
- Day: SENSEX weekly expiry day only (Thursday; Friday in 2024 and Tuesday in Jan–Aug 2025); one trade.
- Entry: 09:18, sell the ATM call and the ATM put (ATM = spot rounded to the nearest 100), at that minute's open price (typically ₹204 + ₹196 with SENSEX near 80,000).
- Per-leg stop: each leg exits on its own when its price is 30% above its entry; the other leg keeps running.
- Group stop: exit everything at an MTM of −₹6,000 (closed legs + open legs, before charges). No profit target.
- Exit: anything still open is closed at 15:00.
- Size: 1 lot (20 qty) per leg, ≈₹2L margin. Costs: Zerodha-style charges with BSE exchange fees and 0.5 point slippage per fill.
Year 1 vs year 2
| Period | Trades | Net P&L | Return (₹2,00,000) | Win rate | Profit factor | Max drawdown | Worst day |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 51 | +₹26,060 | 13.0% | 63% | 1.29 | −₹18,398 | −₹8,410 |
| Year 2 (test) | 53 | +₹16,155 | 8.1% | 64% | 1.29 | −₹16,346 | −₹4,622 |
| Both years | 104 | +₹42,215 | 21.1% | 63% | 1.29 | −₹18,398 | −₹8,410 |
Cumulative P&L
The cumulative P&L ends at +₹42,215 after 104 trades. Its high was +₹42,215 (2026-10-01); the deepest fall from a high was −₹18,398, from 2024-10-11 to 2024-11-29. Best day: +₹16,232 (2024-12-06); worst day: −₹8,410 (2024-11-22).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹9,556 | +₹7,086 | +₹24,585 | +₹988 |
Every trade
104 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2024-10-04 | A leg hit its stop | −₹5,765 |
| 2024-10-11 | Closed at the exit time | +₹7,150 |
| 2024-10-18 | A leg hit its stop | −₹4,379 |
| 2024-10-31 | A leg hit its stop | +₹2,366 |
| 2024-11-08 | A leg hit its stop | −₹4,722 |
| 2024-11-14 | A leg hit its stop | +₹1,519 |
| 2024-11-22 | MTM stop | −₹8,410 |
| 2024-11-29 | A leg hit its stop | −₹4,772 |
| 2024-12-06 | Closed at the exit time | +₹16,232 |
| 2024-12-13 | A leg hit its stop | −₹3,926 |
| 2024-12-20 | MTM stop | −₹8,360 |
| 2024-12-27 | Closed at the exit time | +₹10,210 |
| 2025-01-03 | A leg hit its stop | +₹1,912 |
| 2025-01-07 | A leg hit its stop | +₹2,317 |
| 2025-01-14 | Closed at the exit time | +₹4,583 |
| 2025-01-21 | A leg hit its stop | −₹4,410 |
| 2025-01-28 | A leg hit its stop | −₹3,455 |
| 2025-02-04 | A leg hit its stop | −₹3,860 |
| 2025-02-11 | A leg hit its stop | +₹3,388 |
| 2025-02-18 | A leg hit its stop | +₹3,284 |
| 2025-02-25 | A leg hit its stop | +₹995 |
| 2025-03-04 | A leg hit its stop | +₹1,180 |
| 2025-03-11 | A leg hit its stop | +₹1,171 |
| 2025-03-18 | A leg hit its stop | +₹1,895 |
| 2025-03-25 | A leg hit its stop | −₹4,567 |
| 2025-04-01 | A leg hit its stop | −₹4,882 |
| 2025-04-08 | MTM stop | −₹6,668 |
| 2025-04-15 | Closed at the exit time | +₹8,997 |
| 2025-04-22 | A leg hit its stop | +₹3,175 |
| 2025-04-29 | A leg hit its stop | +₹1,136 |
| 2025-05-06 | A leg hit its stop | +₹1,667 |
| 2025-05-13 | A leg hit its stop | +₹3,049 |
| 2025-05-20 | A leg hit its stop | +₹3,600 |
| 2025-05-27 | MTM stop | −₹8,134 |
| 2025-06-03 | A leg hit its stop | +₹6,519 |
| 2025-06-10 | A leg hit its stop | +₹1,569 |
| 2025-06-17 | A leg hit its stop | +₹1,502 |
| 2025-06-24 | A leg hit its stop | −₹3,250 |
| 2025-07-01 | Closed at the exit time | +₹9,579 |
| 2025-07-08 | Closed at the exit time | +₹7,049 |
| 2025-07-15 | A leg hit its stop | +₹1,856 |
| 2025-07-22 | A leg hit its stop | +₹805 |
| 2025-07-29 | A leg hit its stop | −₹3,456 |
| 2025-08-05 | A leg hit its stop | +₹2,033 |
| 2025-08-12 | A leg hit its stop | −₹2,119 |
| 2025-08-19 | A leg hit its stop | +₹1,734 |
| 2025-08-26 | A leg hit its stop | +₹1,604 |
| 2025-09-04 | A leg hit its stop | −₹2,658 |
| 2025-09-11 | A leg hit its stop | +₹1,022 |
| 2025-09-18 | A leg hit its stop | +₹978 |
| 2025-09-25 | A leg hit its stop | −₹2,223 |
| 2025-10-01 | A leg hit its stop | +₹1,607 |
| 2025-10-09 | A leg hit its stop | +₹1,324 |
| 2025-10-16 | A leg hit its stop | +₹2,781 |
| 2025-10-23 | A leg hit its stop | −₹2,896 |
| 2025-10-30 | A leg hit its stop | +₹3,023 |
| 2025-11-06 | A leg hit its stop | +₹2,961 |
| 2025-11-13 | A leg hit its stop | −₹2,260 |
| 2025-11-20 | A leg hit its stop | +₹1,684 |
| 2025-11-27 | A leg hit its stop | −₹2,898 |
| 2025-12-04 | A leg hit its stop | +₹1,603 |
| 2025-12-11 | A leg hit its stop | −₹3,805 |
| 2025-12-18 | A leg hit its stop | −₹2,173 |
| 2025-12-24 | A leg hit its stop | −₹4 |
| 2026-01-01 | A leg hit its stop | +₹1,342 |
| 2026-01-08 | A leg hit its stop | +₹1,184 |
| 2026-01-14 | A leg hit its stop | −₹2,782 |
| 2026-01-22 | A leg hit its stop | −₹4,429 |
| 2026-01-29 | A leg hit its stop | −₹3,808 |
| 2026-02-05 | A leg hit its stop | +₹2,191 |
| 2026-02-12 | A leg hit its stop | +₹2,443 |
| 2026-02-19 | A leg hit its stop | +₹752 |
| 2026-02-26 | A leg hit its stop | +₹1,628 |
| 2026-03-05 | A leg hit its stop | −₹4,622 |
| 2026-03-12 | A leg hit its stop | +₹2,707 |
| 2026-03-19 | A leg hit its stop | +₹3,963 |
| 2026-03-25 | A leg hit its stop | +₹4,554 |
| 2026-04-02 | A leg hit its stop | +₹3,548 |
| 2026-04-09 | A leg hit its stop | −₹3,610 |
| 2026-04-16 | A leg hit its stop | +₹1,202 |
| 2026-04-23 | A leg hit its stop | −₹1,134 |
| 2026-04-30 | A leg hit its stop | −₹3,128 |
| 2026-05-07 | A leg hit its stop | −₹4,424 |
| 2026-05-14 | A leg hit its stop | −₹3,448 |
| 2026-05-21 | A leg hit its stop | +₹3,218 |
| 2026-05-27 | A leg hit its stop | +₹3,143 |
| 2026-06-04 | A leg hit its stop | +₹2,824 |
| 2026-06-11 | A leg hit its stop | +₹1,478 |
| 2026-06-18 | A leg hit its stop | +₹2,150 |
| 2026-06-25 | A leg hit its stop | −₹3,013 |
| 2026-07-02 | A leg hit its stop | +₹2,026 |
| 2026-07-09 | A leg hit its stop | +₹1,997 |
| 2026-07-16 | A leg hit its stop | +₹1,814 |
| 2026-07-23 | A leg hit its stop | −₹3,753 |
| 2026-07-30 | A leg hit its stop | +₹1,979 |
| 2026-08-06 | A leg hit its stop | −₹3,667 |
| 2026-08-13 | A leg hit its stop | +₹929 |
| 2026-08-20 | A leg hit its stop | +₹280 |
| 2026-08-27 | A leg hit its stop | +₹1,243 |
| 2026-09-03 | A leg hit its stop | +₹1,477 |
| 2026-09-10 | A leg hit its stop | +₹1,664 |
| 2026-09-17 | A leg hit its stop | −₹194 |
| 2026-09-24 | A leg hit its stop | +₹2,586 |
| 2026-10-01 | A leg hit its stop | +₹2,898 |
What is an every-day Nifty ATM straddle with leg stops?
It sells the ATM call and ATM put at 09:18 on every trading day, not only on expiry. Each leg has its own stop at +30% of its entry price, so a trending day closes the losing leg while the other keeps running; the whole position also exits at a rupee profit or loss limit, or at 15:00.
SENSEX ATM Straddle Legs Expiry Day backtest results
Over 104 trades from 2024-10-04 to 2026-10-01 at 20 quantity, the SENSEX ATM straddle Legs Expiry day returned +₹42,215 after brokerage, taxes and slippage: +₹26,060 in year 1 and +₹16,155 in year 2. It won 63% of trades, had a profit factor of 1.29 and a worst drawdown of −₹18,398. That is 10.6% 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.
Why expiry day carries this strategy
Option premium decays fastest on expiry day, so that is where an intraday straddle can collect enough to cover costs. On the other weekdays there is less decay within a single session, while the round-trip charges and the risk of a trend stay the same.
Risks of an every-day straddle
Five trades a week means five sets of charges and slippage, and a run of trending days can stack losses. Capital assumed is about ₹2,00,000 for 20 quantity.
Frequently asked questions
Is the SENSEX ATM straddle Legs Expiry day profitable?
In this two-year backtest it made money in both years: +₹26,060 in year 1 and +₹16,155 in year 2, +₹42,215 in total after costs at 20 quantity, with a 63% win rate. Past results do not guarantee future returns.
How much capital does the SENSEX ATM straddle Legs Expiry day need?
About ₹2,00,000 for 20 quantity is assumed here. Actual broker margin changes with the index level and volatility.
Does it use a stop-loss?
Yes: each leg exits on its own at +30% of its entry, and the whole position at the rupee limits.
Does it hold positions overnight?
No. It opens and closes the same day.
How was this backtest done?
On 1-minute prices of expired SENSEX option contracts from 2024-10-04 to 2026-10-01 (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.