This is an expiry day strategy which takes up to 2 adjustments per leg.
Entry time: 09:22
Exit time: 15:15
MTM SL: 3600 per lot
Capital: 4,85,000
Logic:
1. Enter into a short straddle i.e. sell ATM CE and PE based on SPOT Nifty with leg level target as 50% and Stop-Loss as 60%
2. If target hit in step 1 for any leg then again take the entry in ATM option (Sell) for the same leg with same target and Stop-Loss of 50% and 60% respectively. No further entry to be taken if target is hit in second entry in a given leg.
3. If SL hit for any leg in step 1 or in step 2 then sell the opposite leg closer to 50 Point with SL as 50%. E.g. if the Stop loss is hit in CE option then PE option near to 50 should be sold.
4. If SL hit in leg taken in option 3 then buy ATM option of same leg as taken in step 3 with target of 40% and Stop-Loss as 25%. E.g. in step 3, we are buying a PE near to option 50 and its SL gets triggered then ATM PE option needs to be bought.
Stock Mock strategy -> Expiry day Journey strategy.
Back Testing for Nifty Expiry day
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