With the advent of Weeklies, obviously selling or going short on Options makes a fair bit of sense if only know know how to manage risks.

One such strategy which works best when VIX doesn’t spike mid day, is an Intraday Short Strangle. The key here is to execute the trade at a point during the day when greater than 60% of the 20 day Average Intraday Range is already established at at that point of time, depending on where the market is, up or down, from point as a reference you can establish a Short Strangle around 20 day Average Intraday Range away from the high or low of the day.

For instance lets take today’s example on BankNifty, works better due to larger ranges.

The Rules -

1. Trade on current week series on all days except Thursday, on Thursday move to the next week’s series.

2. SL would be based on Average P&L, I keep 2x of Avg P&L (Do your back test or forward test to figure).

3. Strike Selection - Calculate Average Intraday Range for 20 Days. Then calculate StDev of that, take a value that is Mean + 2 StDev. For example today at 9:18 ish the Banknifty futures was around 18800, and I chose 21000 Ce and 17000 Pe.

So here is the Strangle chart and you can see how the linear the the move is. The first one is BANKNIFTY and the second one if of NIFTY, Ideally if you get an entry in the first 15 minutes of open, you get a good edge, or else you get stopped fairly early in the game.

The Second opportunity for entry is typically middle of the day when the Volatility expands. More about it in a later post.