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Sensex Expiry day and 1 Day to Expiry strategy

 Note: I am not a SEBI registered advisor and sharing strategies for learning purpose only

Logic of the strategy:

  1. This is a intra-day strategy and  has to be executed on Sensex 1 day before expiry and on expiry day
  2. At 0922 sell Sensex ATM CE/PE weekly options based on spot with target of 50% and SL of 60% on both legs
  3. In case SL is hit for any leg Sell 100 PT opposite leg with SL of 50% e.g. if SL is hit on ATM CE then sell 100 Point PE
  4. In case target is hit for legs taken in point 2 then again sell the ATM leg of same side with target of 50% and SL of 60%. E.g. if ATM CE taken in point 2 hits the target then again ATM CE will be sold. 
  5. If SL is hit on any legs taken in point 4, then follow logic of point 3. 
  6. Exit at 15:15
  7. Keep a MTM SL of 4k per lot
Stock Mock link for the strategy -> Sensex 1DTX & XD Adjustment

Back Testing Details 
(Updated as of 23-May-25)





Actuals
(Started trading from 12-Jul-24)









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