- Sell an ATM straddle at 10:30 am by simultaneously selling both an ATM call option and an ATM put option with the same WEEKLY expiry date and strike price.
- Buy 2% away wings for protection by buying both an out-of-the-money call option and an out-of-the-money put option with strike prices 2% higher and lower than the ATM strike, respectively.
- Calculate the 30% stop loss based on the premium collected from selling the straddle.
- Monitor the position for the rest of the trading days and exit all legs of the trade together if either of the following conditions is met: o The 30% stop loss is hit. o The target of 80% is achieved.
- If neither condition is met, hold the position until the expiry time of 3:20 pm and exit all legs of the trade together.
Link to Data : https://drive.google.com/drive/folders/1c4iiWbfzmPPoMWk08jUeqz0YL_yheM8Y?usp=sharing
Backtesting Period : 2017 ; Instrument : BANKNIFTY Futures & Options
