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Backtest the 9:20 straddle
The 9:20 straddle is one of the best known intraday option strategies in India: sell the ATM call and put at 9:20 am, put a stop loss on each leg, and close what is left before the market shuts. It is simple to set up and easy to get wrong.
Set it up in a minute
In the builder, choose the index and set the entry to 09:20. Add two sell legs, call and put, at the ATM strike. Give each a stop loss, for example 25%, and set the exit to 15:15. Run it over several years and read the results.
Questions worth testing
- Does it still hold up after charges?
- Is 9:20 better than 9:30 or 9:45 on the same index?
- Does moving the other leg to cost help or hurt?
- How did it do on expiry days compared with other days?
- Which months gave back the most, and why?
Questions
Why 9:20 and not 9:15?
The first minutes after the open are often the most volatile and have wider spreads. Waiting a few minutes lets prices settle. Test both and see what the data says.
Does it work on SENSEX?
You can run the same rule on SENSEX options and compare it with NIFTY on the Compare page.
Related guides
- Backtest a short straddle the way you would trade it: Backtest a short straddle on NIFTY, BANKNIFTY or SENSEX. Test entry times, per-leg stop losses, move-to-cost and re-entries, with charges included.
- Backtest NIFTY option strategies on minute data: Backtest NIFTY weekly and monthly option strategies on 1-minute data from 2019. Straddles, strangles, spreads and condors with stop losses, re-entries and charges.
- Backtest BANKNIFTY option strategies: Backtest BANKNIFTY option strategies on 1-minute data from 2019, with expiry changes, stop losses, re-entries and full charges per trade.
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