Overview

Executed overnight short straddles using the volatility and mean-reversion mechanics.

Single Tightgrip Straddle is an overnight short straddle strategy on NIFTY options that trades only between 10:15 AM and 2:15 PM. It sells both the ATM call and put options when specific volatility-based signals indicate a high probability of mean reversion. The strategy uses two proprietary indicators — alpha (correlation between IV changes and spot returns) and alpha7 (based on vega differentials and IV term structure) — to identify ideal entry points. A trade is triggered only when both indicators cross their respective thresholds, ensuring it operates under tightly controlled market conditions. Built with a focus on discipline and safety, Tightgrip enters just one trade at a time and enforces multiple risk checks. It avoids trades when option prices are too low, checks for sufficient margin, and places stoploss to ₹5000 per leg via stop losses. When SL is hit in one leg, it squares off the other leg and modifies the SL of the original leg to 10k. It squares off both legs finally at 3:10pm next day. The strategy processes real-time 1-minute data to calculate implied volatility metrics and only acts when both legs are ready, executing via automated systems and sending alerts through Slack. This makes it a cautious yet efficient way to profit from periods of expected volatility compression.

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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Single Tightgrip Straddle

Backtest This Algo

Overview

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

Key Parameters

This algo is managed by...

Stratzy

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