Option selling

The 9:45 AM NIFTY short straddle — what a year of data really says

NIFTY · Mar 2024 – Mar 2025 · 244 sessions · 1 lot, net of costs

Disclaimer: For educational purposes only. These are backtested past results, not investment advice. Trading involves risk, and past performance does not guarantee future returns.

query › "Sell NIFTY ATM straddle at 9:45, SL 40 pts/leg, trail every 40 pts, exit 3:20."

40.6%

Win rate

+522

Net points

−406

Max drawdown

488

Trades

0.74

Sharpe

Cumulative P&L (points · 1 lot · net of costs)

Selling the 9:45 straddle is one of the most talked-about intraday plays in Indian retail. So we backtested a full year of it on NIFTY — enter an ATM straddle at 9:45, 40-point stop per leg, trail the stop every 40 points, square off at 3:20.

The first surprise is right there in the numbers: a 40.6% win rate. You lose more often than you win.

So how is it profitable?

Average win: +47 points. Average loss: −38 points. The trailing stop lets the good days run while capping the bad ones. The edge isn't being right often — it's the asymmetry.

The catch nobody posts

Max drawdown was −406 points — nearly the entire year's +522. Option sellers don't blow up from a low win rate; they blow up from a drawdown they weren't ready to sit through.

Takeaways

Win rate is a vanity metric for option selling. The trailing stop is the real edge. And you only collect the profit if you can survive the drawdown that comes to get you first.

Want to stress-test your own version — change the entry time, the stop, the trail?

New to this? Read the guide on how to backtest trading strategies, or see how options backtesting works.