Performance Summary

An algorithmic options strategy that sells index straddles using a lattice-based model to time entries and select strikes. Each leg (call and put) is managed independently with a ₹5,000 stop-loss. If one leg’s stop-loss is hit, profit is booked on the other, and the stopped leg continues with a revised ₹10,000 stop-loss to capture potential reversals. Positions are held overnight and squared off at 3:10 PM the next day if not exited earlier. The strategy blends precise signal generation, adaptive risk management, and overnight theta capture.