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Algo Trading India

Premium selling

Delta strangle

Sell the call and put nearest a chosen delta, rather than a fixed distance.

Index stays in a rangeOpens for a creditComfortable managing riskLoss uncapped

How it works

Delta is roughly the market’s own estimate of the chance a strike finishes in the money, so selecting on delta keeps the position’s risk comparable from week to week. A fixed 300-point strangle is far riskier in a volatile week than a calm one; a 0.20-delta strangle moves its strikes out automatically when volatility rises.

What it costs you when you are wrong

Unbounded, like every short strangle. Delta selection makes the risk consistent, not small — and the delta is computed from an implied volatility solved off the closing price, so on an illiquid strike the reading is only as good as that close.

The position

  1. 1Sell the call nearest 0.2 delta
  2. 2Sell the put nearest 0.2 delta
Enter
4 trading days before expiry
Exit
hold to expiry
Legs
2
Open in the full backtest tool

Test it yourself

This runs against real historical market data. Nothing is uploaded, nothing is stored, and the result is not a prediction — it is what this rule would have done, on that index, in that year, with the costs shown.

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