---
title: "Straddles and strangles on Nifty: long, short, real data"
description: "Long and short straddles and strangles on a dated NSE Nifty chain: premium, breakevens, results at expiry, and why a high win rate is not an edge."
source_url: "https://www.rupeecase.com/learn/path-17/module-17-5-straddles-and-strangles"
---

[Path 17 5 of 23](/learn/path-17/)Straddles and strangles, long and short[Next 17.6](/learn/path-17/module-17-6-credit-spreads)

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](/learn/glossary#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](/learn/glossary#win-rate) from an expectancy using a fairly priced weekly model.

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](/learn/questions/straddle-vs-strangle) 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](/learn/path-17/module-17-6-credit-spreads) adds a bought leg to cap the loss, and the [iron condor and iron fly module](/learn/path-17/module-17-7-iron-condor-and-iron-fly) 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](/learn/path-15/module-15-7-expected-move) turns that price into a range, and the [events and IV crush module](/learn/path-16/module-16-6-iv-crush-around-events) 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

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](/learn/path-12/module-12-5-fo-margins-explained) 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](/learn/path-14/module-14-3-option-buyer-vs-seller) sets out the numbers, and the [question page](/learn/questions/option-buying-vs-selling) 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

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

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

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](/learn/path-12/module-12-3-sebi-fo-loss-studies) 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

| Index move | 10 days on, rupees a lot |
| --- | --- |
| IV −3 | IV same | IV +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.

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.

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](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

What does Straddles and strangles, long and short cover?Two legs on one expiry, a bet on how far the index moves and not which way. What each costs, where it breaks even, and what the seller gives up. It works through The idea, plainly, Worked example: 10 to 30 Jun 2026, The common mistake, Key takeaways. It is module 17.5 of Path 17, Strategies and Hedging, about 8 minutes of reading, free.

TTry it

## Payoff builder, on the same example.
Legs from a dated chain, the expiry and before expiry curves, breakevens and the charges. Dated NSE end of day data, nothing live, no orders.

**Payoff builder**, Nifty, 10 Jun 2026, 30 Jun 2026 expiry.

[Open the payoff builder](/learn/tools/payoff-builder?chain=NIFTY_2026-06-10_2026-06-30&preset=long-straddle)

  AF&O on RupeeCase

## Hedging only, in development
F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet.

  [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup)

  [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging)

QQuick check

## 10 questions, 7 to pass.
Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 17 certificate.

7 of 10 correct passes module 17.5

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

  Passed

###

  Certificate ID

Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify)
Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research.

CCheck yourself

## Path 17 so far.
Your quick check results on this device, stop by stop.

Stop 5 of 23 on Path 17

Strategies and Hedging: every live stop, this module ringed. Source: RupeeCase Learn, Path 17.

1. [17.1Reading and building payoff diagramsNot yet](/learn/path-17/module-17-1-payoff-diagrams)
2. [17.2Vertical debit spreads: bull call and bear putNot yet](/learn/path-17/module-17-2-bull-call-and-bear-put-spreads)
3. [17.3Covered call, protective put and cash secured putNot yet](/learn/path-17/module-17-3-covered-call-and-protective-put)
4. [17.4Why and when to hedge: insurance in plain numbersNot yet](/learn/path-17/module-17-4-why-hedge)
5. [17.5Straddles and strangles, long and shortNot yet](/learn/path-17/module-17-5-straddles-and-strangles#quiz)
6. [17.6Credit spreads: bull put and bear callNot yet](/learn/path-17/module-17-6-credit-spreads)
7. [17.7Iron condor and iron fly on NiftyNot yet](/learn/path-17/module-17-7-iron-condor-and-iron-fly)
8. [17.8Butterflies and broken wing butterfliesNot yet](/learn/path-17/module-17-8-butterflies)
9. [17.9Option calendar spreadsNot yet](/learn/path-17/module-17-9-option-calendar-spreads)
10. [17.10Choosing a strategy by view: direction, volatility and timeNot yet](/learn/path-17/module-17-10-strategy-by-view)
11. [17.11Adjustments: what they really do to riskNot yet](/learn/path-17/module-17-11-option-adjustments)
12. [17.12Expiry day: gamma, theta, settlement and the rulesNot yet](/learn/path-17/module-17-12-expiry-day)
13. [17.13Hedging a stock portfolio with Nifty putsNot yet](/learn/path-17/module-17-13-hedging-with-nifty-puts)
14. [17.14Collars and put spreads as cheaper hedgesNot yet](/learn/path-17/module-17-14-collars-and-put-spreads)
15. [17.15Hedging mutual fund portfolios: beta and basisNot yet](/learn/path-17/module-17-15-hedging-mutual-fund-portfolios)
16. [17.16Ratio spreads and backspreadsNot yet](/learn/path-17/module-17-16-ratio-spreads-and-backspreads)
17. [17.17Diagonals and double calendarsNot yet](/learn/path-17/module-17-17-diagonals-and-double-calendars)
18. [17.18P&L attribution by GreeksNot yet](/learn/path-17/module-17-18-pnl-attribution-by-greeks)
19. [17.19Event hedging with event varianceNot yet](/learn/path-17/module-17-19-event-hedging)
20. [17.20Tail hedging and long dated Nifty optionsNot yet](/learn/path-17/module-17-20-tail-hedging)
21. [17.21Hedging an option selling book: wings, vega, gaps and margin stressNot yet](/learn/path-17/module-17-21-hedging-an-option-selling-book)
22. [17.22Kelly and sizing for option strategiesNot yet](/learn/path-17/module-17-22-kelly-sizing)
23. [17.23Risk for option books: scenarios, stress, VaR, ES and margin shocksNot yet](/learn/path-17/module-17-23-option-book-risk)
24. [TPath test, 30 questionsNot yet](/learn/path-17/module-17-23-option-book-risk#pathTestSection)

Path 17 in reading time: 215 minutes over 23 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 17.

    Explore next

## Put the module to work.

* [Free module 14.3Buyer or seller: payoffs, margin, win rate and expectancy9 min read](/learn/path-14/module-14-3-option-buyer-vs-seller)
* [Free module 17.1Reading and building payoff diagrams7 min read](/learn/path-17/module-17-1-payoff-diagrams)
* [Free module 17.2Vertical debit spreads: bull call and bear put8 min read](/learn/path-17/module-17-2-bull-call-and-bear-put-spreads)
* [Free module 16.6Events and IV crush: results, Budget, RBI and elections9 min read](/learn/path-16/module-16-6-iv-crush-around-events)
* [Free module 17.6Credit spreads: bull put and bear call9 min read](/learn/path-17/module-17-6-credit-spreads)
* [Free module 17.7Iron condor and iron fly on Nifty10 min read](/learn/path-17/module-17-7-iron-condor-and-iron-fly)

      Community

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SSources

## Go to the source.
7 sources, NSE the most cited

The publisher of each source listed below. Source: Module 17.5 source list.
1. [NSE, equity derivatives contract specifications (lot size, strikes, European exercise, cash settlement)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
2. [NSE Clearing, margins: SPAN, initial margin and extreme loss margin](https://www.nseclearing.in/risk-management/equity-derivatives/margins) NSE
3. [NSE, securities transaction tax on equity derivatives](https://www.nseindia.com/static/products-services/equity-derivatives-securities-transaction-tax) NSE
4. [SEBI, Profitability of individual traders in the equity derivatives segment, FY25 to FY26 (Aug 2026)](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) SEBI
5. [SEBI, Trading behaviour of individual traders in the equity derivatives segment, FY25 to FY26 (Aug 2026)](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-trading-behaviour-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103836.html) SEBI
6. [NISM, Series VIII Equity Derivatives, test objectives (option strategies)](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM
7. [Coval, J. D. and Shumway, T. (2001), Expected Option Returns, Journal of Finance](https://ideas.repec.org/a/bla/jfinan/v56y2001i3p983-1009.html) Paper

GTerms

## 5 terms from this module.
[Straddle](/learn/glossary#straddle)A call and a put at the same strike and expiry, bought (long) or sold (short).
StrangleAn out of the money call and an out of the money put at different strikes, same expiry, bought or sold.
BreakevenThe index level at expiry at which a position neither gains nor loses.
[Win rate](/learn/glossary#win-rate)The share of trades that make money. It says nothing about how large the wins and losses are.
[Expectancy](/learn/glossary#expectancy-per-position)The average result of a trade after the losing trades are counted: win rate times average win, less loss rate times average loss, less costs.
[All 230 terms in the glossary](/learn/glossary)

[Question people askOption buying or option selling: which is better?A short answer with a dated chart](/learn/questions/option-buying-vs-selling)[Question people askStraddle or strangle: what is the difference?A short answer with a dated chart](/learn/questions/straddle-vs-strangle)[Related module14.3 Buyer or seller: payoffs, margin, win rate and expectancy9 min, Beginner](/learn/path-14/module-14-3-option-buyer-vs-seller)[Related module17.1 Reading and building payoff diagrams7 min, Beginner](/learn/path-17/module-17-1-payoff-diagrams)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives)

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.