Option selling

Straddle vs strangle on NIFTY — which survives the drawdown?

NIFTY · Apr 2023 – Mar 2025 · ~480 sessions each · 1 lot · sold 9:45, 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 vs the 300-point OTM strangle at 9:45, buy back at 3:20 — same days, no stop."

+1,435

Straddle · net

+1,238

Strangle · net

0.81

Straddle Sharpe

1.42

Strangle Sharpe

−891 / −434

Max drawdown

Cumulative P&L (points · 1 lot · no stop)

Every option seller eventually faces the same fork: sell the at-the-money straddle and collect fat premium, or sell a wider out-of-the-money strangle and sleep better. We settled it with identical mechanics on NIFTY — sell at 9:45 AM, buy back at 3:20 PM, no stop — on the very same days. The straddle used the ATM call and put; the strangle used strikes 300 points either side. Two years, ~480 sessions each.

The straddle earned more points

Raw premium wins on the straddle: +1,435 points versus the strangle's +1,238. Selling at the money collects the most time value, so on calm days it banks more. If points were the whole story, you'd stop here.

The strangle was the better trade

But look at the ride. The strangle won 79.6% of days to the straddle's 65.8%, and — crucially — its worst drawdown was −434 points against the straddle's −891. Risk-adjusted, it wasn't close: Sharpe 1.42 vs 0.81. The strangle gave up ~14% of the points to roughly halve the pain.

Points aren't the scoreboard

The straddle sits right where the index moves, so every trending day hits it square — bigger premium, bigger whipsaw. The strangle's buffer means most days finish quietly out of the money, and the bad days cost less. Same edge, very different drawdown to survive.

Takeaway

If you're optimising raw premium and can stomach the swings, the straddle collects more. If you're optimising survival — and for most sellers, staying in the game is the strategy — the strangle's smoother curve and half the drawdown win. Neither has a stop here; add one and the gap narrows, but the shape holds.

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.