A "rolling straddle" in options trading is a strategy where you periodically close and re-open a straddle with a new, later expiry date, essentially resetting your bet on a significant price movement.
This strategy performance best on the expiry day or expiry -1.
Trades Rules ---------------------------------------------------------- Entry : 1. Straddle Price below VWAP line 2. Expiry day after 2:00 PM, if price below minimum price than no trade. 3. Trade after 9:25 AM
Exit : 1. Straddle Price cross VWAP line (Ignore if the price difference between VWAP and Straddle is < 2) 2. When Spot move to significant (NIFTY ± 100, SENSEX ± 200, BANKNIFT ± 200). 3. CE or PE price below minimum price (NIFTY: 15, SENSEX: 30, BANKNIFT: 25) 4. 15:00 (3:00PM) all open position square off
ATM (at-the-money) premium decay refers to the rapid erosion of an option's value over time, particularly for options whose strike price is close to the current price of the underlying asset, as they have the most extrinsic value to lose.
OptionLab