Options & Hedging09:20 AM Entry AnchorComplexity: Advanced
Intraday Delta-Neutral Straddle / Strangle Decay
Sells ATM Call and Put options at 09:20 AM IST to capture non-directional intraday time decay (Theta), with automated individual leg stoplosses and strike re-hedging.
Public & Generic Educational Strategy Notice: This strategy blueprint represents a publicly known mathematical formulation and standard technical analysis concept. Algo Software Innovations does NOT claim proprietary copyright, invention, or exclusive ownership over these formulas. You can adapt, customize, and deploy this logic to your private cloud VPS.
Mathematical Logic & Formula Formulation
Time-based anchor: Sell ATM CE and ATM PE simultaneously at 09:20 AM; Set individual leg SL at +25% premium
Deterministic Entry Rules
Long Entry (BUY)
- ✓Non-directional: Sells ATM CE and ATM PE simultaneously at 09:20 AM IST.
Short Entry (SELL)
- ✓Non-directional: Sells ATM CE and ATM PE simultaneously at 09:20 AM IST.
Exit Criteria & Stop Loss Protection
Initial Stop Loss25% on each individual option leg (if CE SL hits, PE continues with trailing stop).
Target ProfitCombined 50% decay of total straddle premium collected.
Risk/Reward Expectancy1 : 1.5
Strategy Configuration Specs
Market Segment:Nifty & BankNifty Weekly Options (Expiry Day)
Candle Timeframe:09:20 AM Entry Anchor
Risk-to-Reward Ratio:1 : 1.5
Throttling Compliance:≤ 10 OPS Enforced
Required TA-Lib Indicators:
Option Greeks (Delta, Theta, Gamma)VIX FilterATR (14)
Risk Management Controls
- •No trading if India VIX > 22.0 or major central bank news.
Target Trader Profile:Options sellers looking for automated 09:20 AM rule-based premium decay.