Sample Strategy - Straddle with MTM/SL (Nifty)

Disclaimer:

This document is for informational purposes only and describes the mechanics of the strategy as configured on the Quantiply platform. It is not financial advice. Past performance of any strategy does not guarantee future results. Please ensure you understand the risks involved before trading with real capital.

Strategy Overview:

This strategy deploys a Short ATM Straddle on NIFTY. In simple terms, you are simultaneously selling one Call option and one Put option, both at the At-the-Money (ATM) strike. Both legs are entered at the same time, at the defined start time of the strategy.

Here is what gets sold at entry:

• 1 lot of NIFTY ATM Call Option (CE)
• 1 lot of NIFTY ATM Put Option (PE)

Strategy Snapshot:

Overview of the key configuration parameters for this strategy

Risk Management Configuration:

No individual leg stoploss or target has been defined for this strategy. Risk and reward are managed entirely at the combined MTM level. This means the system looks at the total profit or loss of both legs together, not each leg on its own.

All exit conditions are controlled using two settings: an MTM Target and an MTM Stoploss.

MTM Target:

Type: MTM in Total Amount

Value: Rs. 1,000

Action: Square off all positions

How it works:

The system continuously monitors the combined real-time profit of both the CE and PE legs. When the total strategy profit reaches or exceeds Rs. 1,000, the algo automatically squares off both legs, closes the entire straddle position, and stops further execution for the session.

This ensures profit booking is handled at the overall strategy level rather than per leg.

Example:

Suppose the CE leg is sold at Rs. 300 and the PE leg at Rs. 280. The combined premium collected is Rs. 580. As the market stays flat and both premiums decay, the combined profit gradually builds up. The moment the total profit across both legs reaches Rs. 1,000, the system exits the entire straddle immediately.

MTM Stoploss:

Type: MTM in Percentage

Value: 5%

Action: Square off all positions

How it works:

The stoploss is defined as a percentage-based drawdown on the overall strategy MTM. If the combined loss of both legs reaches 5% of the combined premium sold at entry, the algo immediately squares off all open positions, closes the entire straddle, and prevents further loss.

This approach ensures that risk is controlled at the strategy level instead of monitoring each leg independently.

Key Things to Know

• Because there are no individual leg exits, both legs run together until either the combined target or stoploss is hit or the end of day exit time is reached.

• This strategy works best in range-bound market conditions, where both premiums decay steadily without a large directional move.