Whats your loss if market closes at 9900 ?
Today Nifty spot is 10700. Sell a strangle of 10400-11000. Now wait for Nifty to move to 10500 or 10900, till that time do nothing with it.
Once it reaches 10900, close 11000CE (mostly it will be in loss) and sell a new strangle of 10600-11200. The profit making leg of 10400PE can be kept open if profit still not reached 60-80% of its sale value. Similar thing is done if Nifty moves down to 10500 on put side.
As long as Nifty does not become wild, this works beautifully and it is possible to cover a long distance of Nifty without any problem. I have experienced 1000 points directional move over 1 month in this strategy. So if nifty closes at 9900 in normal course without very high speed, there is no problem at all. There will be no loss at all, but most likely there will be good profit.
In case of huge gap down of 1000 points or more or locking on circuit, the max loss will be 500 minus credit taken on sold legs. Typically sold legs can fetch a premium of nearly 150 points, so net loss for that particular rare tail attack event will be 500-150 = 350 points.
After enough real life experience, delta adjustment in gradually falling market by selling few extra calls also enhances profitability. But this is not a part of standard rules of this strategy.
Hope this clarifies.
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