Strategy description

Directional-Neutral Intraday Straddle Strategy

Defined stop-loss with structured re-entry logic to capture premium decay on both legs.

Entry (Set 1 – 9:30 AM)

1. Sell ATM Call Option with 20% SL
2. Sell ATM Put Option with 20% SL

Re-entry Logic

1. Set 2: If CE leg hits SL, re-enter the same CE at cost with SL (up to 2 re-entries)
2. Set 3: If PE leg hits SL, re-enter the same PE at cost with SL (up to 2 re-entries)

Objective

Capture premium decay on both legs with controlled risk via stop-loss and limited re-entry attempts.

Exit Conditions & Position Sizing

1. Time-based exit or MTM threshold
2. Adjust position size to protect capital