Overview

Carries the short strangle from one expiry to next, aiming for complete premium decay.

The Short Strangle algorithm is a sophisticated options trading strategy designed to capitalize on range-bound markets and elevated implied volatility conditions. The strategy employs a multi-factor approach, combining price momentum, open interest dynamics, volume analysis, and volatility metrics to identify optimal entry points. It specifically looks for three key conditions: a low alpha signal (indicating potential mean reversion), high close price gaps (suggesting market inefficiency), and elevated implied volatility rank (indicating premium selling opportunities). When these conditions align, the algorithm executes a short strangle by selling both out-of-the-money call and put options, with strike prices set at 100 points above and below the current ATM strike price. The algorithm incorporates robust risk management protocols, including a fixed stop-loss of ₹7,500 and margin-based position sizing. It operates exclusively during specific market hours (10:15 AM to 2:15 PM) to ensure optimal liquidity and execution quality, while avoiding new positions after 3:00 PM to accommodate end-of-day position management. The strategy utilizes 1-minute interval data for precise signal generation and maintains a comprehensive database of active trades to prevent overlapping positions. Through its integration with real-time market data, margin calculations, and automated trade execution systems, the algorithm provides a systematic approach to options premium collection while maintaining strict risk controls. It carries the position till expiry if no SL is hit.

Backtested Results

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Backtesting results are based on past data. Historical data does not guarantee future results.

Key Parameters

Drawdown

Risk : Reward

Frequency of trade

Risk

This algo is managed by...

Stratzy

INH000009180 SEBI registered algo provider

Algos in market24

Active since5 Years

Deployed by12.5K users

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Expiry Short Strangle

Overview

Backtesting results are based on past data. Historical data does not guarantee future results.