Closing auction · SENSEX · intraday
SENSEX Closing Auction ATM Buy Too few trades yet
Too few trades yet. Only a handful of closing-auction expiries since August 2026: too few trades to judge. +₹4,903 net over 5 trades (2026-08-06 to 2026-10-01, 20 quantity), 80% win rate, max drawdown −₹1,001, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with SENSEX at 80,000: buy 80000 CE at ₹245.15. Buy the ATM option on the predicted side (a call shown; a put is the mirror image) at the median price paid, ₹245.2. The premium is the most it can lose.
How it trades
- Day: SENSEX weekly expiry day only; at most one trade.
- Reference: the 3:14 index price; ATM = that rounded to the nearest 100.
- Read at 3:21 (one retry a minute later): implied move = ATM + call − put − reference. 30+ points up buys the ATM call, 30+ down buys the ATM put; anything smaller is no trade that week.
- Entry at the read price + ₹1, never more than 15% above the read (no chasing).
- Exit: sell at +50% − ₹1 as soon as a minute's high reaches it; otherwise hold (NRML) and sell at 3:39 − ₹1. Never held to settlement.
- Stop-loss: none; the premium paid is the most a trade can lose.
- Size: 20 qty (1 lot) every trade. Costs: brokerage, STT, exchange, SEBI, stamp and GST.
Cumulative P&L
The cumulative P&L ends at +₹4,903 after 5 trades. Its high was +₹4,995 (2026-09-03); the deepest fall from a high was −₹1,001, from 2026-09-03 to 2026-09-10. Best day: +₹2,653 (2026-09-03); worst day: −₹1,001 (2026-09-10).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | ₹0 | ₹0 | +₹4,206 | +₹697 |
Every trade
5 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2026-08-06 | Target | +₹2,342 |
| 2026-09-03 | Target | +₹2,653 |
| 2026-09-10 | Sold at the exit time | −₹1,001 |
| 2026-09-24 | Sold at the exit time | +₹212 |
| 2026-10-01 | Target | +₹697 |
What is the SENSEX closing auction trade?
Since SEBI's closing auction session went live on 3 August 2026, the expiry-day settlement price of SENSEX is set in an auction after 3:15 PM. This strategy buys one at-the-money option on expiry day, on the side its read of the auction points to, and sells it before settlement.
SENSEX Closing Auction ATM Buy backtest results
Over 5 trades from 2026-08-06 to 2026-10-01 at 20 quantity, the SENSEX closing auction ATM buy returned +₹4,903 after brokerage, taxes and slippage. It won 80% of trades, had a profit factor of 5.90 and a worst drawdown of −₹1,001. That is too short a record for a per-year figure (capital about ₹7,000).
Why there are so few trades
It trades only on SENSEX expiry days since August 2026, so the record is still a handful of trades (5 so far). Results this short can change sign quickly.
Risks of the closing auction trade
The premium paid is the most a trade can lose, but auction prices can move sharply in the last minutes and fills near the close may be thin.
Frequently asked questions
Is the SENSEX closing auction ATM buy profitable?
It has only 5 trades so far (+₹4,903 after costs), too few to call. Past results do not guarantee future returns.
How much capital does the SENSEX closing auction ATM buy need?
About ₹7,000 for 20 quantity is assumed here. Actual broker margin changes with the index level and volatility.
Does it use a stop-loss?
No: the premium paid is the most a trade can lose.
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 2026-08-06 to 2026-10-01 (5 expiries so far), 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.