Bank Nifty 09:20 Short Straddle Backtest

Sell the at-the-money Bank Nifty call and put at 09:20 and close at 15:15. Bank Nifty has had only monthly options since November 2024, so this uses the nearest monthly expiry.

Backtested 2026-05-13 to 2026-11-12 on 100 trading days (2 excluded, listed below), one lot per leg, costs included. Historical simulation, refreshed weekly.

Total net P&L
₹50,470
after ₹14,000 of costs
Win rate
69.0%
of trading days
Max drawdown
-₹14,772
9 trading days to recover
Expectancy
₹504.70
per trading day
Profit factor
1.55
gross wins / gross losses
Best and worst day
₹7,729 / -₹11,258
longest losing run 4 days

Cumulative net P&L

Net P&L by day

Net P&L by weekday

Net P&L by days to expiry at entry

The rules

Underlying
Bank Nifty
Entry
09:20, Monday to Friday
Exit
15:15, or earlier on a stop
Expiry
Nearest monthly expiry
Commission
₹20.0 per lot, on entry and on exit
Slippage
0.5 premium points against every fill

Times are exchange time. Prices are last-traded one-minute marks, not quotes you could always have filled at. Lot sizes follow each contract's expiry, so a range that spans an NSE lot size change uses the old size before it and the new size after. Option premiums are not shown on this page.

LegStrikeLotsStop
Sell CallAt the money1None
Sell PutAt the money1None

Days left out (2)

These days are not in any number on this page, rather than being counted as flat.

  • 1 day: no BANKNIFTY price on this date (we hold prices for 129 of the 102 days in this range)
  • 1 day: no trade near the entry time for the 57800C leg

Day by day

DateContractsExpiryExitNet P&L
2026-11-11 WedS 60600 CE, S 60600 PE2026-11-23time_exit-₹2,225
2026-11-09 MonS 59000 CE, S 59000 PE2026-11-23time_exit₹90
2026-11-05 ThuS 56900 CE, S 56900 PE2026-11-23time_exit-₹10,373
2026-11-04 WedS 55700 CE, S 55700 PE2026-11-23time_exit₹2,211
2026-11-03 TueS 55300 CE, S 55300 PE2026-11-23time_exit-₹897
2026-11-02 MonS 55000 CE, S 55000 PE2026-11-23time_exit₹1,306
2026-10-30 FriS 54700 CE, S 54700 PE2026-11-23time_exit₹1,704
2026-10-29 ThuS 54300 CE, S 54300 PE2026-11-23time_exit₹721
2026-10-28 WedS 53900 CE, S 53900 PE2026-11-23time_exit₹1,960
2026-10-27 TueS 54300 CE, S 54300 PE2026-10-27time_exit₹7,729
2026-10-26 MonS 53900 CE, S 53900 PE2026-10-27time_exit₹2,220
2026-10-22 ThuS 54700 CE, S 54700 PE2026-10-27time_exit₹3,789
2026-10-21 WedS 55600 CE, S 55600 PE2026-10-27time_exit-₹2,289
2026-10-14 WedS 55300 CE, S 55300 PE2026-10-27time_exit₹916
2026-10-13 TueS 55100 CE, S 55100 PE2026-10-27time_exit₹205
2026-10-12 MonS 55100 CE, S 55100 PE2026-10-27time_exit₹441
2026-10-09 FriS 54800 CE, S 54800 PE2026-10-27time_exit-₹236
2026-10-08 ThuS 54800 CE, S 54800 PE2026-10-27time_exit-₹1,014
2026-10-05 MonS 55100 CE, S 55100 PE2026-10-27time_exit-₹1,131
2026-10-01 ThuS 54800 CE, S 54800 PE2026-10-27time_exit-₹424
2026-09-30 WedS 54500 CE, S 54500 PE2026-10-27time_exit₹3,806
2026-09-29 TueS 54200 CE, S 54200 PE2026-09-29time_exit₹7,222
2026-09-28 MonS 54900 CE, S 54900 PE2026-09-29time_exit₹1,291
2026-09-25 FriS 55600 CE, S 55600 PE2026-09-29time_exit₹3,643
2026-09-24 ThuS 55700 CE, S 55700 PE2026-09-29time_exit-₹2,361
2026-09-23 WedS 56400 CE, S 56400 PE2026-09-29time_exit₹926
2026-09-22 TueS 56600 CE, S 56600 PE2026-09-29time_exit₹295
2026-09-21 MonS 56400 CE, S 56400 PE2026-09-29time_exit₹2,312
2026-09-18 FriS 56200 CE, S 56200 PE2026-09-29time_exit₹2,618
2026-09-17 ThuS 56300 CE, S 56300 PE2026-09-29time_exit₹2,586
2026-09-16 WedS 56100 CE, S 56100 PE2026-09-29time_exit₹197
2026-09-15 TueS 56600 CE, S 56600 PE2026-09-29time_exit-₹3,122
2026-09-11 FriS 56000 CE, S 56000 PE2026-09-29time_exit-₹5,315
2026-09-10 ThuS 56300 CE, S 56300 PE2026-09-29time_exit₹1,606
2026-09-09 WedS 56500 CE, S 56500 PE2026-09-29time_exit₹1,429
2026-09-08 TueS 57000 CE, S 57000 PE2026-09-29time_exit₹1,318
2026-09-07 MonS 57300 CE, S 57300 PE2026-09-29time_exit₹445
2026-09-04 FriS 57500 CE, S 57500 PE2026-09-29time_exit₹1,552
2026-09-03 ThuS 57500 CE, S 57500 PE2026-09-29time_exit₹1,387
2026-09-02 WedS 57000 CE, S 57000 PE2026-09-29time_exit₹229
2026-09-01 TueS 57600 CE, S 57600 PE2026-09-29time_exit-₹362
2026-08-31 MonS 57500 CE, S 57500 PE2026-09-29time_exit₹816
2026-08-27 ThuS 58000 CE, S 58000 PE2026-09-29time_exit-₹305
2026-08-26 WedS 57600 CE, S 57600 PE2026-09-29time_exit₹111
2026-08-25 TueS 57400 CE, S 57400 PE2026-08-25time_exit₹4,537
2026-08-24 MonS 57800 CE, S 57800 PE2026-08-25time_exit-₹3,528
2026-08-20 ThuS 57500 CE, S 57500 PE2026-08-25time_exit₹1,115
2026-08-19 WedS 57300 CE, S 57300 PE2026-08-25time_exit₹1,658
2026-08-17 MonS 57400 CE, S 57400 PE2026-08-25time_exit-₹2,535
2026-08-11 TueS 57600 CE, S 57600 PE2026-08-25time_exit₹2,598
2026-08-10 MonS 57800 CE, S 57800 PE2026-08-25time_exit₹3,366
2026-08-06 ThuS 57800 CE, S 57800 PE2026-08-25time_exit-₹104
2026-08-05 WedS 57800 CE, S 57800 PE2026-08-25time_exit-₹2,060
2026-08-04 TueS 58100 CE, S 58100 PE2026-08-25time_exit-₹1,628
2026-08-03 MonS 57600 CE, S 57600 PE2026-08-25time_exit₹779
2026-07-30 ThuS 57100 CE, S 57100 PE2026-08-25time_exit₹724
2026-07-29 WedS 57100 CE, S 57100 PE2026-08-25time_exit₹2,154
2026-07-28 TueS 56900 CE, S 56900 PE2026-07-28time_exit₹3,880
2026-07-27 MonS 57100 CE, S 57100 PE2026-07-28time_exit₹4,226
2026-07-23 ThuS 56800 CE, S 56800 PE2026-07-28time_exit₹1,342
2026-07-22 WedS 57800 CE, S 57800 PE2026-07-28time_exit-₹1,779
2026-07-21 TueS 57900 CE, S 57900 PE2026-07-28time_exit₹2,809
2026-07-20 MonS 57700 CE, S 57700 PE2026-07-28time_exit₹948
2026-07-16 ThuS 57800 CE, S 57800 PE2026-07-28time_exit₹1,325
2026-07-15 WedS 57600 CE, S 57600 PE2026-07-28time_exit₹862
2026-07-14 TueS 57800 CE, S 57800 PE2026-07-28time_exit₹321
2026-07-13 MonS 57600 CE, S 57600 PE2026-07-28time_exit-₹2,594
2026-07-09 ThuS 56900 CE, S 56900 PE2026-07-28time_exit₹315
2026-07-08 WedS 57900 CE, S 57900 PE2026-07-28time_exit-₹11,258
2026-07-07 TueS 58600 CE, S 58600 PE2026-07-28time_exit₹1,948
2026-07-06 MonS 58000 CE, S 58000 PE2026-07-28time_exit₹2,481
2026-07-03 FriS 58300 CE, S 58300 PE2026-07-28time_exit₹2,251
2026-07-02 ThuS 58100 CE, S 58100 PE2026-07-28time_exit₹2,324
2026-07-01 WedS 57600 CE, S 57600 PE2026-07-28time_exit₹1,753
2026-06-30 TueS 57800 CE, S 57800 PE2026-06-30time_exit₹5,264
2026-06-29 MonS 58200 CE, S 58200 PE2026-06-30time_exit-₹2,626
2026-06-24 WedS 57400 CE, S 57400 PE2026-06-30time_exit-₹5,311
2026-06-23 TueS 57900 CE, S 57900 PE2026-06-30time_exit-₹6,836
2026-06-22 MonS 57800 CE, S 57800 PE2026-06-30time_exit₹2,112
2026-06-18 ThuS 57800 CE, S 57800 PE2026-06-30time_exit₹3,025
2026-06-17 WedS 57300 CE, S 57300 PE2026-06-30time_exit₹2,703
2026-06-16 TueS 57200 CE, S 57200 PE2026-06-30time_exit₹3,133
2026-06-15 MonS 57600 CE, S 57600 PE2026-06-30time_exit-₹396
2026-06-12 FriS 55900 CE, S 55900 PE2026-06-30time_exit-₹6,350
2026-06-11 ThuS 55000 CE, S 55000 PE2026-06-30time_exit₹1,659
2026-06-10 WedS 55300 CE, S 55300 PE2026-06-30time_exit₹3,262
2026-06-09 TueS 54600 CE, S 54600 PE2026-06-30time_exit-₹998
2026-06-08 MonS 54100 CE, S 54100 PE2026-06-30time_exit₹3,923
2026-06-04 ThuS 54000 CE, S 54000 PE2026-06-30time_exit₹740
2026-06-03 WedS 53200 CE, S 53200 PE2026-06-30time_exit-₹7,646
2026-06-02 TueS 53300 CE, S 53300 PE2026-06-30time_exit-₹872
2026-06-01 MonS 54400 CE, S 54400 PE2026-06-30time_exit₹415
2026-05-26 TueS 55300 CE, S 55300 PE2026-05-26time_exit₹4,807
2026-05-25 MonS 54800 CE, S 54800 PE2026-05-26time_exit-₹2,790
2026-05-21 ThuS 53800 CE, S 53800 PE2026-05-26time_exit₹2,805
2026-05-20 WedS 52900 CE, S 52900 PE2026-05-26time_exit-₹1,985
2026-05-19 TueS 53500 CE, S 53500 PE2026-05-26time_exit₹4,514
2026-05-18 MonS 53100 CE, S 53100 PE2026-05-26time_exit₹498
2026-05-14 ThuS 53800 CE, S 53800 PE2026-05-26time_exit₹1,270
2026-05-13 WedS 53600 CE, S 53600 PE2026-05-26time_exit₹899

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