Overview

Sells OTM options and employs overnight strangles.

This algorithm is designed to automatically trade options on the NIFTY index (Indian stock market). It continuously monitors market data and calculates a special signal called "alpha" by looking at how option prices (implied volatility) move compared to the underlying stock price. The algorithm uses complex mathematical calculations including Black-Scholes option pricing, volatility measurements, and correlation analysis to determine when market conditions are favorable for a specific options strategy. When it trades: The algorithm only makes trades when its calculated "alpha" signal is above 0.85 (on a scale of 0 to 1), which indicates that market conditions are optimal. When this happens, it automatically sells a "short strangle" - which means selling both a call option (betting the market won't go up much) and a put option (betting the market won't go down much) at strike prices that are slightly away from the current market price. This strategy profits when the market stays relatively stable and doesn't move too much in either direction, earning money from the time decay (theta) of the options it sold. The algorithm only runs during market hours (10:15 AM to 2:00 PM) and includes safety checks to prevent trading on expiry days or when markets are closed.

Backtested Results

Know performance, backtest now

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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Theta-zone Strangle

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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