Rolling Straddle/Strangle: An Alternate to “920 Straddle” Intraday Trading Strategy
This delta neutral strategy can fetch on an average 6% monthly return and can double your capital in just less than two years.
3 min readSep 14, 2023
Before moving forward, let me show the equity curve of the strategy for last two years.
I spent lot of time on finding strategies for my portfolio for consistent income. I came up with an idea of delta neutral strategy which works very well in V, N and M shape market moves.
This delta neutral strategy starts with selling 0.5 delta CE and PE. As any of the leg’s delta crosses 0.6, both the legs are closed. This process is repeated again with different delta for four more times. After fifth entry, both the legs are kept with fixed SL on both sides as shown in the details.
Entry timing:
- 9:18 AM (non-expiry day)
- 9:30 AM (expiry day)
Exit timing:
- 3:15 PM or SL hit