A strategy built by Claude as a Chief Investment officer role - One of the only short vol strategies which passed its very stringent filter.
An intraday short-strangle strategy that sells option premium on Nifty and BankNifty together, but only on selected low-volatility ("calm") sessions — decided each morning by a proprietary volatility filter. On days the filter reads as unsettled, it stays fully in cash and does not trade (it trades roughly half of all sessions). Every position is opened and fully squared off the same day — no overnight risk.
How it behaves: many small gains on quiet days, sitting out the noisy ones. It is a premium-collection ("short volatility") approach, so wins are frequent but individual losing days can be larger than winning days.
Naked option selling. Losses on a single sharp move are not capped and can exceed any loss seen in the backtest.
Short-volatility strategies win often but carry a fat left tail — occasional outsized losses.
The backtest covers the period the strategy was built on; live results will differ and are expected to be lower. Live/forward track record is still very short.
Past performance does not indicate future results. No returns are promised. Capital is at risk. Suitable only for traders who understand naked index-option selling and can absorb drawdowns.
Backtest report - https://cio.miracmo.ai/bt/reports/calm-vol-strangle-nifty-banknifty.html
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