Strategy description

Strategy Overview – BTC Short Straddle (Daily Expiry)

This strategy is a non-directional option-selling system designed for BTC daily expiry options, aiming to profit from time decay (theta) while managing adverse moves through a Martingale recovery mechanism.

The strategy sells ATM Call and ATM Put simultaneously and increases position size in a structured manner only if predefined loss conditions are met.

Positions are initiated after market stabilization and are either held until expiry or exited earlier based on stop-loss, profit targets

Key Rules

1. Trades are initiated daily only after initial market volatility settles after 7:30 AM
2. Strategy performance depends on:
3. One ATM Call and Ane OTM Put are sold from the same daily expiry, selected at predefined delta or premium distance from the current BTC spot price.
4. This strategy is not a guaranteed profit system. Its primary purpose is to eliminate emotional decision-making through rule-based execution.
5. The algorithm is designed to:
6. Capture rapid theta decay in daily BTC options
7. Perform best during range-bound or low-volatility conditions
8. Control drawdowns using strict stop-loss mechanisms
9. Secure profits using trailing stop-loss logic on individual legs or combined premium
10. A maximum of 3 straddle sets per day is allowed.
    This ensures controlled re-entries and avoids over-exposure during trending markets.
11. Re-entry is permitted only after the complete exit of the previous straddle and once market volatility stabilizes again.
12. Sudden volatility expansion due to macro or crypto-specific events
13. Exchange execution and API latency
14. Option liquidity and bid–ask spreads

Note

BTC markets can react sharply to macro announcements, ETF flows, regulatory updates, exchange-specific news, or liquidation cascades.
On high-impact event days, price movement can become directional and violent. Trade with extra caution and at your own risk.

Important

Please ensure extensive backtesting and paper trading across different volatility regimes before deploying this strategy with real capital.

Disclaimer

This strategy is shared strictly for educational purposes only.
It does not constitute investment advice, financial advice, or a solicitation to trade.
Crypto derivatives trading involves substantial risk and may not be suitable for all participants.
Please consult a qualified financial professional before trading.