Double diagonal

Sell a near-expiry strangle and buy a later-expiry strangle further out: an iron condor whose wings are in a later month.

Payoff sketch (per unit, index points)

At the near expiry

Today (7 days left)

Net premium

Debit 352 pts

Max profit

+152 pts in this range (₹9,876 per lot)

Max loss

−268 pts in this range (₹17,439 per lot)

Breakeven

24,684 / 25,442

Legs: Sell PE ATM −200 · Buy PE ATM −300 (far expiry) · Sell CE ATM +200 · Buy CE ATM +300 (far expiry). Illustration, not live prices: an index at 25,000, strikes 100 points apart, Black-Scholes premiums at 13% implied volatility, 7 days to the near expiry and 35 to the far one, 6.5% interest, no skew and before charges. Rupees per lot use a NIFTY lot of 65.

How it works

The near short strangle earns fast decay; the far long strangle protects the tails and keeps value after the near expiry, so the short legs can be sold again.

When traders use it

A range view over several weeks, rolling the short strangle each near expiry.

Greeks

Delta	Near zero.
Gamma	Negative.
Theta	Positive inside the range.
Vega	Positive or near zero, depending on the strikes.

Profit, loss and margin

Max profit	Not fixed: largest between the short strikes at the near expiry.
Max loss	Defined: about the net debit plus the strike gaps, depending on the far options' value.
Breakeven	Outside the short strikes; depends on the far options at the near expiry.
Margin	The short near strangle margined against the far long strangle; the offset falls away on the near expiry day.

In India

Since February 2025 the calendar-spread margin offset no longer applies on the expiry day of the expiring leg, so a calendar or diagonal can need noticeably more margin on that day.
Since 20 November 2024 each exchange keeps one weekly index expiry: NIFTY on NSE and SENSEX on BSE. Since September 2025 NSE contracts expire on Tuesdays and BSE contracts on Thursdays. BANKNIFTY, FINNIFTY, MIDCPNIFTY and stock options expire monthly (NSE on the last Tuesday). A holiday moves the expiry to the previous trading day.
STT is charged on the premium when an option is sold (0.15% of premium from 1 April 2026 in Arthfy's cost model). A short option left to expire, in or out of the money, is not charged STT again at settlement.

Arthfy numbers

Diagonals are not covered by Arthfy's single-expiry history yet; the iron condor page shows the single-expiry version. See Iron condor.

Try it in the F&O hub

Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.

Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain

Open the option chainLive premiums, IV and Greeks

Condors & iron butterflies

Iron condor

Calendars & diagonals

Double calendar

For education: how the structure works and what it did historically, not a recommendation to trade it.