Weekly carry · SENSEX · held overnight
SENSEX Overnight Strangle ₹30 Passed both years
Passed both years. The one SENSEX setup that held up when tuned: sold the day before expiry and held one night, profitable in both years at every premium tested. +₹61,205 net over 103 trades (2024-10-04 to 2026-10-01, 20 quantity), 91% win rate, max drawdown −₹8,645, 15.4% a year on ₹2,00,000 capital, after all costs and slippage.
Data to · page updated
Payoff
Illustrated with SENSEX at 80,000: sell 81400 CE at ₹30, sell 78500 PE at ₹30. Sold at 09:20 the session before expiry and held overnight to 15:00 on expiry day: 81400 CE + 78500 PE with SENSEX at 80,000, ~₹30 each (~1.8% from spot on each side, typical over the 2 years).
How it trades
- Week: every SENSEX weekly expiry (Thursday; Friday in 2024 and Tuesday in Jan–Aug 2025), including holiday weeks.
- The session before expiry, 09:20: sell the OTM call and put each priced closest to ₹30 (e.g. 73900 CE + 71400 PE with SENSEX at 72,612; ≈₹60 × 20 = ₹1,200 credit). Strikes picked on the 09:19 prices, ~1.8% from spot on each side.
- Hold overnight. No stop-loss, no roll, no wings.
- Expiry day 15:00: close both legs at market.
- Size: 1 lot (20 qty) per leg, ≈₹2L margin. Costs: Zerodha-style charges with BSE exchange fees and 0.5 point slippage on every fill.
Year 1 vs year 2
| Period | Trades | Net P&L | Return (₹2,00,000) | Win rate | Profit factor | Max drawdown | Worst week |
|---|---|---|---|---|---|---|---|
| Year 1 (to 2025-09-30) | 51 | +₹37,658 | 18.8% | 90% | 4.95 | −₹3,884 | −₹3,876 |
| Year 2 (test) | 52 | +₹23,547 | 11.8% | 92% | 2.19 | −₹8,645 | −₹7,216 |
| Both years | 103 | +₹61,205 | 30.6% | 91% | 3.08 | −₹8,645 | −₹7,216 |
Cumulative P&L
The cumulative P&L ends at +₹61,205 after 103 trades. Its high was +₹64,091 (2026-09-17); the deepest fall from a high was −₹8,645, from 2025-10-09 to 2025-11-20. Best week: +₹1,571 (2025-04-08); worst week: −₹7,216 (2025-10-16).
P&L by quarter
| Quarter | Jan–Mar | Apr–Jun | Jul–Sep | Oct–Dec |
|---|---|---|---|---|
| Net P&L | +₹10,352 | +₹25,334 | +₹18,585 | +₹6,934 |
Every trade
103 trades
| Expiry | Exit | Net P&L |
|---|---|---|
| 2024-10-04 | Held to expiry | +₹1,103 |
| 2024-10-11 | Held to expiry | +₹971 |
| 2024-10-18 | Held to expiry | +₹1,076 |
| 2024-10-31 | Held to expiry | +₹1,002 |
| 2024-11-08 | Held to expiry | +₹1,000 |
| 2024-11-14 | Held to expiry | +₹1,004 |
| 2024-11-22 | Held to expiry | −₹3,505 |
| 2024-11-29 | Held to expiry | +₹1,056 |
| 2024-12-06 | Held to expiry | +₹1,075 |
| 2024-12-13 | Held to expiry | +₹961 |
| 2024-12-20 | Held to expiry | +₹1,031 |
| 2024-12-27 | Held to expiry | +₹1,019 |
| 2025-01-03 | Held to expiry | +₹1,044 |
| 2025-01-07 | Held to expiry | +₹988 |
| 2025-01-14 | Held to expiry | +₹1,130 |
| 2025-01-21 | Held to expiry | +₹1,039 |
| 2025-01-28 | Held to expiry | +₹1,011 |
| 2025-02-04 | Held to expiry | −₹3,876 |
| 2025-02-11 | Held to expiry | −₹8 |
| 2025-02-18 | Held to expiry | +₹1,013 |
| 2025-02-25 | Held to expiry | +₹1,080 |
| 2025-03-04 | Held to expiry | +₹1,068 |
| 2025-03-11 | Held to expiry | +₹983 |
| 2025-03-18 | Held to expiry | −₹1,052 |
| 2025-03-25 | Held to expiry | +₹1,103 |
| 2025-04-01 | Held to expiry | −₹1,103 |
| 2025-04-08 | Held to expiry | +₹1,571 |
| 2025-04-15 | Held to expiry | +₹1,070 |
| 2025-04-22 | Held to expiry | +₹998 |
| 2025-04-29 | Held to expiry | +₹1,032 |
| 2025-05-06 | Held to expiry | +₹1,109 |
| 2025-05-13 | Held to expiry | +₹1,007 |
| 2025-05-20 | Held to expiry | +₹937 |
| 2025-05-27 | Held to expiry | +₹1,060 |
| 2025-06-03 | Held to expiry | +₹977 |
| 2025-06-10 | Held to expiry | +₹1,102 |
| 2025-06-17 | Held to expiry | +₹1,088 |
| 2025-06-24 | Held to expiry | +₹1,031 |
| 2025-07-01 | Held to expiry | +₹965 |
| 2025-07-08 | Held to expiry | +₹952 |
| 2025-07-15 | Held to expiry | +₹957 |
| 2025-07-22 | Held to expiry | +₹1,016 |
| 2025-07-29 | Held to expiry | +₹1,079 |
| 2025-08-05 | Held to expiry | +₹947 |
| 2025-08-12 | Held to expiry | +₹864 |
| 2025-08-19 | Held to expiry | +₹1,071 |
| 2025-08-26 | Held to expiry | +₹901 |
| 2025-09-04 | Held to expiry | +₹911 |
| 2025-09-11 | Held to expiry | +₹991 |
| 2025-09-18 | Held to expiry | +₹1,025 |
| 2025-09-25 | Held to expiry | +₹784 |
| 2025-10-01 | Held to expiry | +₹1,055 |
| 2025-10-09 | Held to expiry | +₹1,046 |
| 2025-10-16 | Held to expiry | −₹7,216 |
| 2025-10-30 | Held to expiry | +₹1,043 |
| 2025-11-06 | Held to expiry | +₹1,004 |
| 2025-11-13 | Held to expiry | +₹856 |
| 2025-11-20 | Held to expiry | −₹4,332 |
| 2025-11-27 | Held to expiry | +₹830 |
| 2025-12-04 | Held to expiry | +₹1,037 |
| 2025-12-11 | Held to expiry | +₹1,040 |
| 2025-12-18 | Held to expiry | +₹1,035 |
| 2025-12-24 | Held to expiry | +₹980 |
| 2026-01-01 | Held to expiry | +₹1,003 |
| 2026-01-08 | Held to expiry | +₹168 |
| 2026-01-14 | Held to expiry | +₹1,057 |
| 2026-01-22 | Held to expiry | +₹968 |
| 2026-01-29 | Held to expiry | +₹970 |
| 2026-02-05 | Held to expiry | +₹1,020 |
| 2026-02-12 | Held to expiry | +₹695 |
| 2026-02-19 | Held to expiry | +₹560 |
| 2026-02-26 | Held to expiry | +₹988 |
| 2026-03-05 | Held to expiry | +₹983 |
| 2026-03-12 | Held to expiry | +₹36 |
| 2026-03-19 | Held to expiry | −₹4,633 |
| 2026-03-25 | Held to expiry | +₹1,014 |
| 2026-04-02 | Held to expiry | +₹1,058 |
| 2026-04-09 | Held to expiry | +₹1,017 |
| 2026-04-16 | Held to expiry | +₹993 |
| 2026-04-23 | Held to expiry | +₹1,017 |
| 2026-04-30 | Held to expiry | +₹1,007 |
| 2026-05-07 | Held to expiry | +₹1,056 |
| 2026-05-14 | Held to expiry | +₹991 |
| 2026-05-21 | Held to expiry | +₹1,090 |
| 2026-05-27 | Held to expiry | +₹1,070 |
| 2026-06-04 | Held to expiry | +₹961 |
| 2026-06-11 | Held to expiry | +₹1,136 |
| 2026-06-18 | Held to expiry | +₹1,097 |
| 2026-06-25 | Held to expiry | +₹962 |
| 2026-07-02 | Held to expiry | +₹918 |
| 2026-07-09 | Held to expiry | +₹721 |
| 2026-07-16 | Held to expiry | +₹999 |
| 2026-07-23 | Held to expiry | +₹1,048 |
| 2026-07-30 | Held to expiry | +₹1,072 |
| 2026-08-06 | Held to expiry | +₹339 |
| 2026-08-13 | Held to expiry | +₹1,075 |
| 2026-08-20 | Held to expiry | +₹971 |
| 2026-08-27 | Held to expiry | +₹153 |
| 2026-09-03 | Held to expiry | +₹931 |
| 2026-09-10 | Held to expiry | +₹560 |
| 2026-09-17 | Held to expiry | +₹984 |
| 2026-09-24 | Held to expiry | −₹3,649 |
| 2026-10-01 | Held to expiry | +₹763 |
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: The session before expiry, 09:20: sell the OTM call and put each priced closest to ₹30 (e.g. 73900 CE + 71400 PE with SENSEX at 72,612; ≈₹60 × 20 = ₹1,200 credit). Strikes picked on the 09:19 prices, ~1.8% from spot on each side.
SENSEX Overnight Strangle ₹30 backtest results
Over 103 trades from 2024-10-04 to 2026-10-01 at 20 quantity, the SENSEX Overnight strangle ₹30 returned +₹61,205 after brokerage, taxes and slippage: +₹37,658 in year 1 and +₹23,547 in year 2. It won 91% of trades, had a profit factor of 3.08 and a worst drawdown of −₹8,645. That is 15.4% 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 SENSEX Overnight strangle ₹30 profitable?
In this two-year backtest it made money in both years: +₹37,658 in year 1 and +₹23,547 in year 2, +₹61,205 in total after costs at 20 quantity, with a 91% win rate. Past results do not guarantee future returns.
How much capital does the SENSEX Overnight strangle ₹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?
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 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.