Dumb Strangle - BN

Strategy Description: This is an intraday Strategy on BankNIFTY
Weekly Options.
Entry: It sells intraday BankNIFTY ATM+-100 options at 9:20 AM with 20% stop loss at each of the legs and exit at 2:50 PM.

Strategy Details

It will sell intraday BankNIFTY ATM options+-100 at 9:20 AM. It will have two stop losses –
  • One is % based stop loss i.e. it will close the trade if 20% of the premium is hit. So, if a call options is sold at 100, then it will get squared off if the price reaches 120.
  • One is a time-based stop loss, i.e. It will close the trade at 14:50. In the event that the stop-loss mechanism described earlier is not triggered, It will square off the trade irrespective of profit or loss at that said time.
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Metrics

Disclaimer

SEBI has released circular no. SEBI/HO/MIRSD/DOP/P/CIR/2022/117 on September 02, 2022, regarding the performance/returns claimed by unregulated platforms providing algorithmic trading strategies, imposing restrictions on disclosing past performance or anticipated returns of any strategy. Due to slippage and varying costs (e.g., different brokerage fees), strategy returns exhibit significant fluctuations. That’s why, we are presenting backtested benchmark results instead.

  • Good Past performance showed in a backtested result is no guarantee of future results.
  • This also highlights the notion that one shouldn't dismiss an investment solely based on its recent underperformance, as it has the potential to recover and revert to its customary exceptional results.
  • For instance, if there's a complete breakdown in the broker network and their API, it could be cause for concern. Although such minor incidents are usually tracked, it's prudent to stay vigilant.
  • While the trading is fully automated, it's recommended to occasionally monitor your account for any significant discrepancies.

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Commonly Asked Questions

Our methodical approach is focused on revealing the essence of each design challenge to allow us.

This is called Dumb Strangle Strategy because it looks like a too simple strategy based on Strangle.

It was supposed to sell sell intraday ATM options at the start of the market but since inception it is selling 5 minutes after the market start i.e. 9:20 AM to avoid the maddening volatility of market start.
Currently, brokers initiate an automatic square-off process 30 minutes before the market closes, precisely at 15:00. This timing aligns with the heightened volatility observed during the market’s final half-hour. That’s why, we set our reference time at 14:50.