This post is to share the BN Delta Neutral profit/loss details. It is a intraday strategy which takes position in 0.5 delta CE/PE legs of Bank Nifty (ATM Straddle) and then makes adjustment to keep overall delta within a limit during the day. Adjustments are done when difference between CE/PE delta becomes more than limit (say x) to adjust the profit making leg to neutralize the delta. Again when delta difference goes beyond this limit (x) the existing positions are squared off and strategy takes a re-entry. Similar kind of strategies can be tried with 0.25 delta legs which will have lesser MDD along with less profit. There is no maximum SL or limit for re-entries for this strategy and hence position size is the key here to limit the risk. On a trending day with ever increasing VIX this strategy can give a heavy loss. Note (4-Feb-23): In view of 9k per lot loss on 1-Feb when Bank Nifty moved in a range of 2500 points, the strategy is now modified to not to take re-entry once the ran