Straddles & strangles

Range-bound

Credit

Risk: Undefined both ways

Short strangle

Also called: Sell strangle

Sell an out-of-the-money call and an out-of-the-money put: keep the credit if the underlying stays between the strikes; open-ended losses outside them.

Payoff sketch (per unit, index points)

At expiry

Today (7 days left)

Net premium

Credit 195 pts

Max profit

+195 pts (₹12,660 per lot)

Max loss

Unlimited above the chart

Breakeven

24,605 / 25,395

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

How it works

A wider, lower-income version of the short straddle: the underlying can move within the strikes without loss at expiry.

Losses beyond the strikes are uncapped, which is why many traders add wings and turn it into an iron condor.

When traders use it

A view that the price will stay inside a range until expiry.
Collecting time decay with more room than a straddle gives.

Greeks

Delta	Near zero at entry.
Gamma	Negative, growing near either strike and near expiry.
Theta	Positive.
Vega	Negative.

Profit, loss and margin

Max profit	Both premiums less charges, if the underlying settles between the strikes.
Max loss	Unlimited on the upside; very large on the downside.
Breakeven	Call strike + total credit; put strike − total credit.
Margin	High: SPAN plus exposure on both short legs, with some offset because only one side can lose at expiry.

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.

Arthfy numbers

Short strangle: what it did since 2016

Short strangle, 20 delta, entered 8-15 days before expiry.

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 expiry daysMinute data since October 2024

Open the option chainLive premiums, IV and Greeks

Condors & iron butterflies

Iron condor