Expiry day · SENSEX · intraday
SENSEX Expiry-Day Straddle 9:30 Passed both years
Passed both years. The best SENSEX intraday result once tuned: an expiry-day straddle with a wide stop that moves to breakeven, profitable in both years. +₹78,877 net over 104 trades (2024-10-04 to 2026-10-01, 20 quantity), 49% win rate, max drawdown −₹14,288, 19.8% 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 ₹187.5, sell 80000 PE at ₹184.5. Typical strikes and premiums at entry over the 2 years: ATM call ₹187.5 + put ₹184.5 at 09:30 on SENSEX expiry day.
How it trades
- Day: SENSEX weekly expiry day only (Thursday; Friday in 2024 and Tuesday in Jan–Aug 2025); one trade.
- Entry: 09:30, sell the ATM call and the ATM put (ATM = spot rounded to the nearest 100), at that minute's open price (typically ₹187 + ₹184 with SENSEX near 80,000).
- Stop-loss: exit both legs when the combined loss reaches 50% of the premium collected (checked each minute).
- Breakeven stop: once profit reaches 30% of the premium, the stop moves to breakeven.
- 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 | +₹57,536 | 28.8% | 49% | 1.74 | −₹9,696 | −₹9,289 |
| Year 2 (test) | 53 | +₹21,341 | 10.7% | 49% | 1.43 | −₹14,288 | −₹6,129 |
| Both years | 104 | +₹78,877 | 39.4% | 49% | 1.62 | −₹14,288 | −₹9,289 |
Cumulative P&L
The cumulative P&L ends at +₹78,877 after 104 trades. Its high was +₹87,782 (2026-09-17); the deepest fall from a high was −₹14,288, from 2026-01-01 to 2026-04-16. Best day: +₹13,474 (2025-06-03); worst day: −₹9,289 (2024-11-22).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹18,445 | +₹19,513 | +₹26,059 | +₹14,860 |
Every trade
104 trades
| Date | Exit | Net P&L |
|---|---|---|
| 2024-10-04 | Stop-loss | −₹4,680 |
| 2024-10-11 | Closed at the exit time | +₹4,165 |
| 2024-10-18 | Stop-loss | −₹5,618 |
| 2024-10-31 | Breakeven stop | −₹217 |
| 2024-11-08 | Closed at the exit time | +₹9,161 |
| 2024-11-14 | Closed at the exit time | +₹7,543 |
| 2024-11-22 | Stop-loss | −₹9,289 |
| 2024-11-29 | Breakeven stop | −₹161 |
| 2024-12-06 | Closed at the exit time | +₹10,641 |
| 2024-12-13 | Breakeven stop | −₹1,003 |
| 2024-12-20 | Stop-loss | −₹6,829 |
| 2024-12-27 | Closed at the exit time | +₹6,948 |
| 2025-01-03 | Closed at the exit time | +₹3,979 |
| 2025-01-07 | Closed at the exit time | +₹3,910 |
| 2025-01-14 | Closed at the exit time | +₹3,141 |
| 2025-01-21 | Stop-loss | −₹6,111 |
| 2025-01-28 | Closed at the exit time | +₹6,047 |
| 2025-02-04 | Stop-loss | −₹6,033 |
| 2025-02-11 | Breakeven stop | −₹552 |
| 2025-02-18 | Closed at the exit time | +₹10,043 |
| 2025-02-25 | Closed at the exit time | +₹1,532 |
| 2025-03-04 | Closed at the exit time | +₹855 |
| 2025-03-11 | Breakeven stop | −₹605 |
| 2025-03-18 | Closed at the exit time | −₹2,660 |
| 2025-03-25 | Closed at the exit time | +₹5,013 |
| 2025-04-01 | Stop-loss | −₹4,026 |
| 2025-04-08 | Stop-loss | −₹5,670 |
| 2025-04-15 | Closed at the exit time | +₹7,631 |
| 2025-04-22 | Closed at the exit time | +₹4,209 |
| 2025-04-29 | Stop-loss | −₹4,350 |
| 2025-05-06 | Closed at the exit time | +₹2,752 |
| 2025-05-13 | Closed at the exit time | +₹1,377 |
| 2025-05-20 | Stop-loss | −₹4,221 |
| 2025-05-27 | Breakeven stop | −₹1,647 |
| 2025-06-03 | Closed at the exit time | +₹13,474 |
| 2025-06-10 | Closed at the exit time | +₹7,117 |
| 2025-06-17 | Closed at the exit time | +₹6,498 |
| 2025-06-24 | Stop-loss | −₹3,788 |
| 2025-07-01 | Closed at the exit time | +₹5,265 |
| 2025-07-08 | Closed at the exit time | +₹4,496 |
| 2025-07-15 | Stop-loss | −₹3,014 |
| 2025-07-22 | Breakeven stop | −₹939 |
| 2025-07-29 | Breakeven stop | −₹449 |
| 2025-08-05 | Closed at the exit time | +₹2,552 |
| 2025-08-12 | Breakeven stop | −₹1,027 |
| 2025-08-19 | Breakeven stop | −₹228 |
| 2025-08-26 | Closed at the exit time | +₹3,078 |
| 2025-09-04 | Stop-loss | −₹3,490 |
| 2025-09-11 | Closed at the exit time | +₹3,536 |
| 2025-09-18 | Breakeven stop | −₹517 |
| 2025-09-25 | Breakeven stop | −₹303 |
| 2025-10-01 | Breakeven stop | −₹541 |
| 2025-10-09 | Closed at the exit time | +₹2,962 |
| 2025-10-16 | Stop-loss | −₹3,416 |
| 2025-10-23 | Breakeven stop | −₹1,162 |
| 2025-10-30 | Breakeven stop | −₹179 |
| 2025-11-06 | Breakeven stop | −₹170 |
| 2025-11-13 | Closed at the exit time | +₹4,069 |
| 2025-11-20 | Breakeven stop | −₹405 |
| 2025-11-27 | Breakeven stop | −₹551 |
| 2025-12-04 | Closed at the exit time | +₹2,074 |
| 2025-12-11 | Breakeven stop | −₹132 |
| 2025-12-18 | Closed at the exit time | +₹4,608 |
| 2025-12-24 | Closed at the exit time | +₹1,587 |
| 2026-01-01 | Closed at the exit time | +₹2,029 |
| 2026-01-08 | Stop-loss | −₹2,764 |
| 2026-01-14 | Breakeven stop | −₹366 |
| 2026-01-22 | Stop-loss | −₹4,583 |
| 2026-01-29 | Breakeven stop | −₹592 |
| 2026-02-05 | Breakeven stop | −₹832 |
| 2026-02-12 | Closed at the exit time | +₹2,255 |
| 2026-02-19 | Stop-loss | −₹3,860 |
| 2026-02-26 | Closed at the exit time | +₹6,156 |
| 2026-03-05 | Breakeven stop | −₹1,795 |
| 2026-03-12 | Breakeven stop | −₹266 |
| 2026-03-19 | Breakeven stop | −₹528 |
| 2026-03-25 | Closed at the exit time | +₹5,032 |
| 2026-04-02 | Breakeven stop | −₹1,323 |
| 2026-04-09 | Stop-loss | −₹6,129 |
| 2026-04-16 | Stop-loss | −₹4,693 |
| 2026-04-23 | Closed at the exit time | +₹1,492 |
| 2026-04-30 | Breakeven stop | −₹1,094 |
| 2026-05-07 | Breakeven stop | −₹387 |
| 2026-05-14 | Closed at the exit time | +₹1,396 |
| 2026-05-21 | Closed at the exit time | +₹1,930 |
| 2026-05-27 | Closed at the exit time | +₹5,474 |
| 2026-06-04 | Closed at the exit time | +₹4,018 |
| 2026-06-11 | Stop-loss | −₹4,470 |
| 2026-06-18 | Closed at the exit time | +₹2,645 |
| 2026-06-25 | Closed at the exit time | +₹1,298 |
| 2026-07-02 | Closed at the exit time | +₹1,145 |
| 2026-07-09 | Closed at the exit time | +₹5,098 |
| 2026-07-16 | Closed at the exit time | +₹4,353 |
| 2026-07-23 | Breakeven stop | −₹207 |
| 2026-07-30 | Breakeven stop | −₹127 |
| 2026-08-06 | Closed at the exit time | +₹2,174 |
| 2026-08-13 | Closed at the exit time | +₹3,486 |
| 2026-08-20 | Closed at the exit time | +₹932 |
| 2026-08-27 | Closed at the exit time | +₹1,494 |
| 2026-09-03 | Closed at the exit time | +₹207 |
| 2026-09-10 | Closed at the exit time | +₹1,139 |
| 2026-09-17 | Closed at the exit time | +₹1,765 |
| 2026-09-24 | Stop-loss | −₹4,360 |
| 2026-10-01 | Stop-loss | −₹4,545 |
What is a Nifty short straddle on expiry day?
A short straddle sells the at-the-money (ATM) call and the ATM put of the same strike and expiry. The seller collects both premiums and keeps them if Nifty stays near that strike, because both options lose time value (theta decay) as expiry approaches.
This version trades only the weekly Nifty expiry day, entering at 09:30, when the remaining premium decays fastest. When the loss on both legs together reaches 50% of the credit, both legs are closed.
SENSEX Expiry-Day Straddle 9:30 backtest results
Over 104 trades from 2024-10-04 to 2026-10-01 at 20 quantity, the SENSEX expiry-day straddle 9:30 returned +₹78,877 after brokerage, taxes and slippage: +₹57,536 in year 1 and +₹21,341 in year 2. It won 49% of trades, had a profit factor of 1.62 and a worst drawdown of −₹14,288. That is 19.8% 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.
When the straddle works and when it does not
A straddle earns on quiet, range-bound expiry days and loses when Nifty trends hard in one direction. Because the strikes are at the money, even a moderate move puts one leg deep in the money, which is why the stop-loss on combined premium matters more than any other setting.
Risks of selling a Nifty straddle
Without a stop a short straddle has unlimited risk on both sides. Gap moves, event days and late-session trends are the usual losers. Margin for a naked short straddle is high, about ₹2,00,000 here, so returns are measured on that capital, not on the premium collected.
Frequently asked questions
Is the SENSEX expiry-day straddle 9:30 profitable?
In this two-year backtest it made money in both years: +₹57,536 in year 1 and +₹21,341 in year 2, +₹78,877 in total after costs at 20 quantity, with a 49% win rate. Past results do not guarantee future returns.
How much capital does the SENSEX expiry-day straddle 9:30 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: all legs close together when the combined loss reaches 50% of the premium collected, checked every minute.
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.