created : 2 months ago| | live deployment: 0
created : 2 months ago | live deployment: 0
NON DIRECTIONAL STRADDLE INTRADAY
Strategy description
STRATERGY KEY PARAMETRS | |
INDICE | NIFTY-50 (NFO) |
TYPE | INTRADAY |
EXPIRY | CURRENT WEEK |
OVERNIGHT RISK | NA |
NO OF OPEN POSITIONS | Straddle WIth Credit Spread during adjustment |
CAPITAL REQUIRED | 3,50,000 (With Adjustment) |
MTM TARGET | NONE |
MTM STOPLOSS | NONE |
ENTRY TIME | Based on Straddle Premium & Straddle vwap |
EXIT TIME | Based on straddle Premium |
RISING VIX IMPACT | MANAGED WITH TECHNICALS |
LOGIC IDEA | If Straddle premium decays we can capture with right Position |
ADJUSTMENTS | YES, BASED ON NIFTY-50 MOVEMENT |
Strategy Name: VWAP-Based Smart Straddle Seller
Strategy Description:
This is a rule-based intraday short straddle strategy built on the NIFTY 50, designed to systematically capture time decay (theta) while maintaining strict risk control using VWAP-driven signals. The strategy initiates positions only when the combined at-the-money (ATM) straddle premium trades below its VWAP, indicating relative weakness in option pricing and a higher probability of premium contraction.
Core Logic:
Entry is triggered when the combined premium falls below VWAP, ensuring positions are taken at relatively favorable levels for option selling. Exit is strictly governed by a dynamic stop-loss, where positions are closed immediately if the premium moves above VWAP by a predefined buffer, helping to protect against volatility spikes.
Adjustment Mechanism:
The strategy actively tracks market movement and performs adjustments at every 50-point shift in the index. Positions are realigned to the ATM strike to maintain optimal premium capture, minimize directional exposure, and keep the strategy centered around current price action.
Objective:
The primary goal is to generate consistent returns through theta decay while avoiding large drawdowns. The approach remains non-directional and delta-neutral, focusing on disciplined execution rather than aggressive positioning.
Key Highlights:
VWAP-based intelligent entry and exit framework, dynamic adjustments aligned with market movement, purely intraday execution with no overnight exposure, and a strong emphasis on consistency and risk-managed option selling.
Risk Disclaimer:
Options selling involves significant risk, particularly during periods of high volatility or sharp market moves. This strategy requires strict adherence to defined rules, disciplined execution, and appropriate capital management.
