Option selling

9:20, 9:45 or 10:15? When to sell the NIFTY straddle

NIFTY · Apr 2023 – Mar 2025 · ~480 sessions · 1 lot · ATM straddle, no stop

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 the NIFTY ATM straddle and hold to 3:20 — compare entering at 9:20, 9:45 and 10:15."

+494

9:20 entry · net

+1,435

9:45 entry · net

+390

10:15 entry · net

0.81

9:45 Sharpe

−891

9:45 max DD

Cumulative P&L (points · 1 lot) — 9:45 vs 9:20 entry

Sellers argue endlessly about when to put on the straddle. Sell at 9:20 right at the open and grab the fattest premium? Wait for 9:45 once the first move settles? Or hold off to 10:15? We ran the identical NIFTY ATM straddle — no stop, square off 3:20 — at all three entry times, on the same days.

	9:20	9:45	10:15
Win rate	64.8%	65.8%	65.0%
Net points	+494	+1,435	+390
Max drawdown	−1,671	−891	−1,215
Sharpe	0.25	0.81	0.23

9:45 wasn't a coincidence

The win rate barely moved across all three — about 65% each. But 9:45 tripled the net of the other two and roughly halved the drawdown. Selling at 9:20 puts you short into the open's biggest directional thrust; you eat the morning trend before it settles (−1,671 drawdown). Waiting to 10:15 is safer than the open but you've handed over a chunk of the day's theta before you even start.

The morning is the enemy of a short straddle

The first 20–30 minutes carry the session's sharpest directional move — exactly what a straddle seller doesn't want to be short into. Letting it play out, then selling into the calmer mid-morning, captured the theta without wearing the open's volatility. That's the whole reason 9:45 became folklore — and here the data backs it.

Takeaway

Entry time mattered more than almost any other knob in this study — same strategy, 3.6× the return, just from waiting 25 minutes. The open is where a short straddle is most exposed; mid-morning is where it's paid. As always, one window and one index — but the mechanism is sound and the gap is large.

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.