Wednesday 10 Jun 2026. The Nifty 23,250 call settled at 321.65 and the put at 322.05. Together that is 643.70 a unit, Rs 41,841 for a lot of 65 units: a bet on distance, not direction. On Tuesday 30 Jun Nifty closed at 23,865.75, 2.65% above the strike. The pair needed 2.77%. It fell 27.95 points short. The buyer lost Rs 1,817 and the seller kept it, in a month in which the index rose 2.80%. Straddles and strangles are two legs on one expiry, and this lesson takes them apart, long and short. Every figure comes from NSE end of day files of 10 and 30 Jun 2026, so nothing here is live and nothing is a view on the next month.

3By the end you can

  1. Work out the premium, breakevens and result of a long and a short straddle or strangle from dated settlement prices.
  2. Say what each position gains from and loses from: size of move, time and implied volatility.
  3. Tell a win rate from an expectancy using a fairly priced weekly model.
The RupeeCase terminal on sample data: The benchmark line: what is the strategy compared with?
Watch in the terminal: what is the strategy compared with? A short tutorial on sample data.

The idea, plainly

What is a straddle, and what is a strangle?

A long straddle buys a call and a put at the same strike and expiry. The strike is the one nearest the future for a monthly, and nearest the parity forward for a weekly. A long strangle buys an out of the money call above the index and an out of the money put below it. It costs less, because both legs start with little value, and its breakevens sit further out. The short versions sell the same pair. Each is the mirror of the other.

Straddle breakevens =
strike plus or minus
total premium

Strangle breakevens =
call strike + premium
put strike − premium

Read one more paragraph, 61 words

The question page has the two line version. The short answer to which is cheaper is the strangle, and which is better has no answer apart from the payoff and the costs. The credit spreads module adds a bought leg to cap the loss, and the iron condor and iron fly module does the same for a strangle or a straddle.

What does each position bet on?

Not on a direction. On size. The buyer gains if the index finishes further from the strike than the premium paid. The straddle price, close to eight tenths of one standard deviation of the move the market expects, says how far that is. The seller gains if it finishes closer. The expected move module turns that price into a range, and the events and IV crush module shows what a known event does to it.

  • Long straddle or strangle: pays theta every day, is long gamma and long vega, gains from a big move or a rise in implied volatility.
  • Short straddle or strangle: collects theta, is short gamma and short vega, and gives it all back, and more, on a big move or a rise in implied volatility.

2 terms this section turns on

2 terms this section turns on2 terms this section turns on. Straddle: A call and a put at the same strike and expiry, bought (long) or sold (short). Strangle: An out of the money call and an out of the money put at different strikes, same expiry, bought or sold.StraddleA call and a put at the same strike andexpiry, bought (long) or sold (short).StrangleAn out of the money call and an out of themoney put at different strikes, same expiry,bought or sold.
From the module glossary; every term is in the Learn glossary too. Source: Module 17.5, Straddles and strangles, long and short.
Read one more paragraph, 52 words

The loss of a seller has no ceiling on the call side, and on the put side it grows until the index reaches zero. This lesson describes that payoff. It does not suggest that anyone take it, and a seller must also post margin; the margins module explains how much and why.

Option buying or option selling: which is better?

Neither side is cleverer, because the payoffs are mirrors. The buyer's loss is capped at the premium. The seller's gain is capped at it, and the loss is not. What differs is how often each side wins and how big the wins and losses are. Read both together, as expectancy, and not the win rate alone. The buyer and seller module sets out the numbers, and the question page gives the short answer.

Worked example: 10 to 30 Jun 2026

The June monthly, expiry Tuesday 30 Jun, settled on the index close for expiries before 7 Dec 2026. The future settled at 23,240.10 on 10 Jun. All prices are settlement prices, which are not fills: a real order pays a bid and ask on each leg.

A long straddle loses most at the strike and gains beyond two breakevens

Payoff of a long Nifty straddle at the 23,250 strike: a V shape with its lowest point at the strike, losing the whole premium there and gaining beyond each breakevenPayoff of the position at expiry and before expiry. Breakevens at 22,606 and 23,894. Maximum profit in the range ₹49,439, maximum loss ₹41,841; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry10 days to expiry−₹50,000−₹25,000₹0₹25,000₹50,00022,00023,00024,000Nifty at expirySpot 23,215BE 22,606BE 23,894Max loss ₹41,841No cap
Buy the 23,250 call and put, one lot, expiry 30 Jun 2026. The straight lines are the payoff at expiry. The smoother curve is the same position 10 days before expiry, priced with Black 76. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The breakevens of the straddle are 22,606.30 and 23,893.70, a move of 2.77% either way. The 30 Jun close of 23,865.75 was 2.65% above the strike, short of the 23,893.70 the buyer needed.

  • Long straddle. Pays 643.70 a unit, Rs 41,841 a lot. Result at the close: −27.95 a unit, −Rs 1,817 a lot.
  • Short straddle. The mirror. Result: 27.95 a unit, Rs 1,817 a lot, before charges.
  • Long strangle, the 23,550 call and the 22,950 put. Pays 389.60 a unit, Rs 25,324 a lot, breakevens 22,560.40 and 23,939.60. Result: −73.85 a unit.
  • Short strangle. Keeps the premium less the 315.75 points by which the call finished in the money: 73.85 a unit, Rs 4,800 a lot. STT on its two sold legs is Rs 37.99 at 0.15% of premium.

A short strangle keeps its premium between two strikes and loses outside two breakevens

Payoff of a short Nifty strangle with the 22,950 put and the 23,550 call: a flat top between the strikes, falling on both sides, with no limit on the call sidePayoff of the position at expiry. Breakevens at 22,560 and 23,940. Maximum profit in the range ₹25,324, maximum loss ₹46,456; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole position−₹40,000−₹20,000₹0₹20,00022,00023,00024,000Nifty at expirySpot 23,215BE 22,560BE 23,940Max profit ₹25,324No floor
Sell the 23,550 call and the 22,950 put, one lot, expiry 30 Jun 2026, at expiry. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
Read one more paragraph, 48 words

One month shows the shape and nothing about odds. The seller won this time because the close landed between the breakevens. A close of 23,893.70 would have left the straddle at breakeven, and each point above it is a point of loss for the seller with no cap.

What is the success rate of a short straddle or strangle?

Win rate is how often the seller keeps money. Expectancy is what an average trade makes after the losing trades are counted. A model shows the gap between them. It sells one fairly priced weekly put every week for a hundred weeks: the 22,800 put of the 16 Jun weekly, 1.8% below the forward, premium 40.55 a unit, 6 days to expiry.

Model, not market data

Priced fairly, 85 weeks in 100 won, and the losses cancelled the wins

Model, not market data. Result of selling one fairly priced weekly Nifty put for a hundred weeks: 85 winning weeks and 15 losing weeks whose losses cancel the winsProfit: 85 weeks in 100 2,21,251; Loss, all 15 weeks in 100 −2,21,475; of which up to 3x premium −20,603; of which 3 to 10x premium −1,08,408; of which over 10x premium −92,463.Per 100 weeks, one lot, before costs; L is lakhProfit: 85 weeksin 100+2.21LLoss, all 15weeks in 100−2.21Lof which up to 3xpremium−0.21Lof which 3 to 10xpremium−1.08Lof which over 10xpremium−0.92L
One lot sold each week at its fair price, before costs. The bands count losses as multiples of the premium. Inputs: one lot of 65 units of the Nifty 22,800 put sold at its settlement premium of Rs 40.55 a unit on 10 Jun 2026, expiry 16 Jun 2026; the forward 23,229.26 and the option's own implied volatility 15.21% over 6 calendar days; the index at expiry follows a lognormal curve around the forward; 100 weeks; before costs and interest. Source: RupeeCase model, inputs from NSE end of day data. As of 10 Jun 2026.
Read 2 more paragraphs, 161 words

The put wins 85 weeks in 100. The winning weeks add up to Rs 2.21 lakh, and the 15 losing weeks take away Rs 2.21 lakh. About 2.5 weeks in 100 lose more than ten times the premium, and they carry 42% of all the losses. A short straddle at the money, priced fairly, finishes inside its breakevens a little over half the time. A short strangle, with wider breakevens, finishes inside about three times in five. A high win rate and a wide strangle describe the same thing: many small gains and rare large losses.

The behaviour study SEBI published in Aug 2026 gives the same signal. It covers FY26 individual traders in a random sample that SEBI calls indicative. Those who mainly sold options had the lowest share of loss makers, but when they lost, their average loss was more than ten times that of those who mainly bought. The loss studies module reads both studies.

What does time do to a short strangle?

Ten days in, the position has been paid for waiting. It has also moved the risk. The grid prices the short strangle ten days after the example date, for five index moves and three shifts in implied volatility.

A calm index and falling volatility pay the seller, a big move or rising volatility costs

Profit or loss of a short Nifty strangle ten days after 10 Jun 2026 for index moves of minus four to plus four percent and implied volatility changes of minus three to plus three points
Index move10 days on, rupees a lot
IV −3IV sameIV +3
−4%−17,306−18,779−20,879
−2%+6,354+2,678−1,498
0%+16,153+11,119+5,787
+2%+7,176+3,192−1,265
+4%−16,153−17,870−20,298

Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point.

One lot, rupees, Black 76, strikes 22,950 and 23,550, expiry 30 Jun 2026. Each cell is the result ten days after the example date for the move and the volatility shift shown. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The best cells sit in the middle, with the index unmoved and volatility falling. The worst sit in the corners. The seller is paid theta for carrying that, and the corners are the price.

The RupeeCase terminal on sample data: Portfolio value: what does "Same money in NIFTY 50" mean?
Watch in the terminal: what does "Same money in NIFTY 50" mean? A short tutorial on sample data.

The common mistake

The claim: Selling options every week earns a daily income, because theta pays you every day. Theta is real, and the seller collects it. It is also the price of carrying gap and volatility risk, and it arrives as many small gains before a loss that can exceed all of them. In the model above, 85 weeks in 100 won and the total was about zero before costs. Costs then take their share, the sale of each leg bears STT, and margin stays tied up. Win rate is not income. Ask for the average result after every loss, and for the worst week.

Key takeaways

  • A straddle uses one strike. A strangle uses two, so it costs less.
  • Breakevens sit the total premium away from the strike or strikes.
  • The buyer needs a move bigger than the price paid.
  • The seller keeps the premium and has no ceiling on the call side.
  • A high win rate can sit with an expectancy near zero.
  • One month shows the shape of a trade, never its odds.
The RupeeCase terminal on sample data: Trade book: what do hit rate, payoff and expectancy mean?
Watch in the terminal: what do hit rate, payoff and expectancy mean? A short tutorial on sample data.

Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study