ATM Short Straddle Intraday Strategy - Nifty & Bank Nifty

We know that market trends only 30% of the time and remaining 70% of the time it stays in range bound, which immensely helps the option sellers because the more market stays in range bound, higher the decay of premiums.

The above chart is the daily return distribution of Index, we could see more number of times Nifty and Bank NIFTY moved between -0.30% to 0.30% on daily basis, only lesser number of days it has moved wildly on either side, if we follow ATM short straddle strategy, with a fixed stop loss, then we can control our risk when market moves wild and also we can continue to make profits when market stays in range bound.

We used stockmock platform to test this ATM Short straddle strategy

Bank Nifty:

We short one lot of ATM options at 9:20 am every day with 50% stop loss on each leg,we will choose weekly expiry not monthly expiry as the decay is more with weekly options.

For example, if we short ATM CE options at Rs.100, then our stop loss is 150, when that is reached we exit ce, if not we exit by EOD only. Please note that we exit only the strike that hits the stop loss, not both legs.

When tested with one lot, the returns are really good.

It has ended up in profits almost every month

Nifty:

We tested the same with Nifty as well with same rules. We short one lot of ATM options at 9:20 am every day with 50% stop loss on each leg, For example, if we short ATM CE options at Rs.100, then our stop loss is 150, when that is reached we exit ce, if not we exit by EOD only. Please note that we exit only the strike that hits the stop loss, not both legs. Here’s the result

Returns are really good with Nifty options as well

On monthly basis returns are consistent as well

At Squareoff.in we are going to introduce bots for the above strategy with Nifty and Bank Nifty soon. The important element in trading short straddles are, you need to short both call and put options at the same time, with our bots, this is made easy now, and with stop loss already into the system, we don’t need to worry about any adverse movements in markets as we are completely protected against down side risk.

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Hi,
Is that bot live now ? Please share the link .

Yes, its live.

can u please tell me the telegram channel or bot