Expecting range-bound market, or IV decrease
| Strategy Type | Volatility - Short Gamma and Vega |
| Market Outlook | Expecting range-bound market, or IV decrease |
| Risk Profile | UNLIMITED on both sides - requires strict risk management |
| Reward Profile | Limited to premium received |
| Time Horizon | Typically 21-45 days, weekly for experienced |
| Capital Requirement | SPAN margin Rs.50,000-80,000 per lot, plus buffer |
| Best Used When | After events when IV elevated (IV Rank > 50%), range-bound market, proper risk management in place |
| Trading Hours | 9:15 AM - 3:30 PM IST |
| Weekly Expiry | Thursday (NIFTY, BANKNIFTY, FINNIFTY) |
| Monthly Expiry | Last Thursday of the month |
| Type | SPAN + Exposure Margin |
| Naked Straddle Margin | ₹1,50,000 - ₹2,50,000 per lot for NIFTY |
| Iron Condor Margin | ₹40,000 - ₹80,000 per lot (defined risk) |
| Peak Margin Rule | Must maintain margin throughout day |
| Margin Benefit | Spreads receive significant margin reduction |
| Stt On Premium | 0.05% on sell side (options) |
| Stt On Exercise | 0.125% on intrinsic value if ITM at expiry |
| Income Classification | Business income for frequent traders |
| Gst On Brokerage | 18% on brokerage charges |
| Best Instruments | NIFTY and BANKNIFTY ATM and near OTM options |
| Optimal Strikes | ATM for straddles, 1-2 strikes OTM for strangles |
| Bid Ask Spread | Expect 1-2 points on liquid strikes |
| Exit Liquidity | Critical - ensure you can exit positions quickly |
| India Vix | Primary volatility gauge |
| High Vix Entry | Above 18-20 for short vol entry |
| Vix Mean Reversion | VIX tends to revert to 14-16 |
| Event Avoidance | Close positions before major events |
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