Straddles & strangles
Range-bound, quiet
Credit
Risk: Undefined both ways
Short straddle
Also called: Sell straddle, ATM straddle sell
Sell a call and a put at the same at-the-money strike: collect the largest time value available, with open-ended losses on a large move either way.
Payoff sketch (per unit, index points)
At expiry
Today (7 days left)
Net premium
Credit 360 pts
Max profit
+360 pts (₹23,383 per lot)
Max loss
Unlimited above the chart
Breakeven
24,640 / 25,360
How it works
The seller collects both premiums and keeps whatever is left after paying the in-the-money leg at expiry. It earns the most when the underlying settles right at the strike.
Most cycles end with a modest gain; the distribution has a long left tail, where single sessions (crashes, gap openings) cost far more than a typical gain.
When traders use it
- A view that the actual move will be smaller than the implied move the straddle prices.
- Short-dated index trades around expiry, where time decay is fastest.
Greeks
| Delta | Near zero at entry; turns against the price move on either side. |
| Gamma | Strongly negative, and extreme on expiry day. |
| Theta | Strongly positive. |
| Vega | Strongly negative. |
Profit, loss and margin
| Max profit | Both premiums less charges, if the underlying settles exactly at the strike. |
| Max loss | Unlimited on the upside; very large on the downside. |
| Breakeven | Strike ± total premium received. |
| Margin | High: SPAN plus exposure on the two short legs (the opposite legs give some offset), plus the extra 2% on index expiry day. |
In India
- Short options are margined like futures: NSE Clearing's SPAN risk margin plus an exposure margin (2% of notional for index contracts, 3.5% for stocks in Arthfy's model). An at-the-money short option on NIFTY typically blocks well over a lakh of rupees per lot.
- 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.
- Since 20 November 2024 an extra 2% extreme-loss margin applies to short index options on their expiry day, so a position carried into expiry morning can need more margin than it did the day before.
- 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.
The worst cycles in history are concentrated on a few days (March 2020 and election-result days, for example). Read the worst-cycle column below before the win rate.
Arthfy numbers
Arthfy numbers
Short straddle: what it did since 2016
0-2 d
3-7 d
8-15 d
16-30 d
31-45 d
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
Backtest since 2016Daily data, every NIFTY expiry
Replay on past expiry daysThe Expiry Day tab replays this at the same time of day on every past session
Open the option chainLive premiums, IV and Greeks
Related
For education: how the structure works and what it did historically, not a recommendation to trade it.
