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USE CASE · 9:20 SHORT STRADDLE · CATALOG VERIFIED 2026-11-11

Which data do you need to backtest a NIFTY 9:20 short straddle?

A NIFTY 9:20 short straddle backtest needs the 1-minute option chain of the nearest weekly expiry plus NIFTY spot on the same clock, for at least three years. Entry and exit prices alone are not enough: on NIFTY expiry days from November 2023 to November 2026 the 09:20 at-the-money straddle rose 50% or more above entry at some minute on 37.8% of sessions. Options Data (optionsdata.shop) sells that data as the NIFTY Complete, 3 years pack: NIFTY options, futures and spot at 1-minute.

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Dates on this page are read from the live file catalog, not typed by hand. Full matrix: /coverage.

NIFTY 09:20 short straddle, measured on Options Data 1-minute option and spot files, 3 Nov 2023 to 3 Nov 2026: 736 regular sessions (156 expiry days, 580 other days). Strike = NIFTY spot 09:20 bar open rounded to 50; nearest weekly expiry; entry = sum of the call and put 09:20 bar opens; exit = sum of the 15:15 bar opens; path = sum of the two leg closes each minute.

Measure	Expiry days	Other days
Median 09:20 straddle premium	116.1 points (0.48% of spot)	253.1 points (1.04% of spot)
Sessions where the straddle was lower at 15:15 than at 09:20	64.1%	63.3%
Median change from 09:20 to 15:15	−18.3%	−5.9%
Sessions where the straddle rose 25%+ above entry at some minute	57.7%	22.8%
Sessions where the straddle rose 50%+ above entry at some minute	37.8% (59 of 156)	6.9% (40 of 580)
Of those 50%+ sessions, closed lower than entry by 15:15	13 of 59	2 of 40

What data does a NIFTY 9:20 short straddle backtest need?

A NIFTY 9:20 short straddle backtest needs four inputs: NIFTY spot at 09:20 IST to pick the at-the-money strike, the call and put of that strike in the nearest weekly expiry, every minute of both legs from 09:20 to the exit for stop-loss checks, and the expiry date of each contract to know which sessions are expiry days.

Options Data NIFTY option chain files hold every traded strike at 1-minute with the columns datetime, expiry_date, strike_price, right, open, high, low, close, volume and open_interest, one file per trading day per expiry. Spot files carry the index at 1-minute on the same IST clock. Coverage dates are on the NIFTY option chain data page.

Why does a NIFTY straddle backtest need every minute, not only 09:20 and 15:15?

A NIFTY straddle backtest needs every minute because stop-losses trigger inside the session. On 59 of 156 NIFTY expiry days from November 2023 to November 2026, the 09:20 straddle rose 50% or more above entry at some minute; on 13 of those days it still finished below entry at 15:15. An entry-and-exit-only test counts those 13 days as wins.

With a 50% combined stop-loss on the 09:20 NIFTY straddle, 13 expiry days that an entry-and-exit test scores as wins become losses. On the 580 non-expiry sessions the straddle touched +50% on 40 days and recovered to below entry on 2, so NIFTY expiry-day rules depend on the minute path more than rules traded earlier in the week.

How does the 09:20 NIFTY straddle differ on expiry day?

On NIFTY expiry days the median 09:20 at-the-money straddle was 116.1 points, 0.48% of spot, against 253.1 points, 1.04% of spot, on other days, measured from November 2023 to November 2026. The expiry-day straddle lost a median 18.3% of its value by 15:15, against 5.9% on other days.

The NIFTY expiry-day straddle moved against the seller more often than on other days: it rose 25% or more above entry at some minute on 57.7% of expiry days and 22.8% of other days. The share of sessions that closed lower at 15:15 than at 09:20 was close in both groups, 64.1% and 63.3%.

Did the NIFTY expiry move from Thursday to Tuesday change the straddle results?

NSE moved NIFTY weekly expiry from Thursday to Tuesday under circular FAOP68685, effective 28 August 2025 EOD; the last Thursday weekly expiry was 28 August 2025 and the first Tuesday expiry was 2 September 2025. A 3-year backtest therefore holds both expiry weekdays, and the expiry date must be read from each file.

Measured on Options Data files, the 09:20 straddle rose 50% or more above entry on 43.6% of the 94 expiry days up to 28 August 2025 and on 29.0% of the 62 expiry days from 2 September 2025 to 3 November 2026. The median expiry-day entry premium was 115.5 and 116.2 points in the two periods.

Does the 15:40 IST F&O close affect a 9:20 straddle backtest?

NIFTY futures and options trade until 15:40 IST from 3 August 2026, when NSE started its closing auction session, and until 15:30 IST before that date. A straddle that exits at 15:15 IST uses the same bar on both sides of the change, so the result does not depend on the session end.

A NIFTY straddle that holds past 15:15 IST needs a date-aware exit: files dated before 3 August 2026 end at the 15:29 bar and later files end at the 15:39 bar. The session change is covered in the NIFTY closing auction guide.

How were the NIFTY straddle statistics measured?

Method: for each trading day from 3 November 2023 to 3 November 2026, the strike was the NIFTY spot 09:20 bar open rounded to the nearest 50 points, in the nearest weekly expiry. Entry was the sum of the call and put 09:20 bar opens and exit the sum of the 15:15 bar opens, both traded prices. The minute path was the sum of the two leg closes, carried forward through minutes without a trade.

In the NIFTY straddle measurement, Muhurat and special Saturday sessions were excluded, and three sessions without a 09:20 or 15:15 bar for one leg were skipped, leaving 736 sessions. Both legs traded in the 09:20 bar on 735 of them. Costs and taxes are not deducted. The pandas script on this page prints the four headline figures.

Files dated 3 July 2023 to 31 July 2026 use the column names timestamp, strike, option_type and expiry; the script renames them. More Parquet patterns are in the Parquet in Python guide.

import glob, pandas as pd
names = {"timestamp": "datetime", "strike": "strike_price", "option_type": "right", "expiry": "expiry_date", "oi": "open_interest"}
def bars(f):
    d = pd.read_parquet(f).rename(columns=names)
    d["hm"] = pd.to_datetime(d["datetime"]).dt.strftime("%H:%M")   # IST, bar start
    return d
rows = []
for sf in sorted(glob.glob("NIFTY_SPOT_1min_*.parquet")):
    day = sf[-18:-8]
    s = bars(sf); s = s[s["hm"] == "09:20"]
    chain = sorted(glob.glob(f"NIFTY_OPT_1min_{day}_exp*.parquet"))
    if s.empty or not chain: continue
    k = round(s["open"].iloc[0] / 50) * 50          # ATM from the 09:20 spot open
    o = bars(chain[0])                              # nearest expiry
    o = o[o["strike_price"] == k].assign(leg=lambda x: x["right"].str[0].str.upper())
    op = o.pivot_table(index="hm", columns="leg", values="open").reindex(columns=["C", "P"])
    px = o.pivot_table(index="hm", columns="leg", values="close").ffill()
    if not {"09:20", "15:15"} <= set(op.dropna().index): continue
    entry, exit_ = op.loc["09:20"].sum(), op.loc["15:15"].sum()
    peak = px.loc["09:20":"15:14"].sum(axis=1).max()  # sum of leg closes per minute
    rows.append({"day": day, "expiry_day": chain[0][-18:-8] == day,
                 "entry": entry, "lower": exit_ < entry, "hit50": peak >= 1.5 * entry})
r = pd.DataFrame(rows)
print(r.groupby("expiry_day").agg(days=("day", "size"), median_entry=("entry", "median"),
      closed_lower=("lower", "mean"), rose_50pct=("hit50", "mean")))

Which NIFTY pack should I buy for a 9:20 straddle backtest?

Buy NIFTY Complete, 3 years for a 9:20 straddle backtest that picks the strike from spot: it holds NIFTY options, futures and spot at 1-minute for the last 36 months, which spans both NIFTY expiry weekdays. NIFTY options, 1-minute, 3 years holds the option chain only; pick the strike where call and put closes are nearest at 09:20.

For stop-losses tighter than one minute, the trade-offs between bar sizes are in the NIFTY 1-minute vs 1-second guide. The free NIFTY sample shows the file layout before buying.

Exactly which fields are in the files

Options files

Column (layout A · layout B)	Type	Meaning
datetime · timestamp	timestamp	Bar start time, IST wall-clock (e.g. 2026-09-10 09:15:00)
stock_code · —	string	Underlying code: NIFTY, or BSESEN for SENSEX
exchange_code · —	string	NFO (NSE F&O) or BFO (BSE F&O)
product_type · —	string	Options
expiry_date · expiry	string	Contract expiry (A: 15-SEP-2026, B: 2026-09-15)
strike_price · strike	number	Strike price
right · option_type	string	A: Call / Put, B: CE / PE
open / high / low / close	float	Traded premium OHLC within the bar
volume	int	Volume traded in the bar
open_interest · oi	int	Open interest at that bar

No Greeks or bid/ask.

Format: Parquet. Validate on the free sample and the schema page before buying.

FAQ

What data do I need to backtest a NIFTY 9:20 straddle?

NIFTY spot at 1-minute to pick the at-the-money strike at 09:20 IST, and the 1-minute call and put of that strike in the nearest weekly expiry from 09:20 to the exit, with the expiry date on every row. Three years covers both NIFTY expiry weekdays.

Can I backtest a straddle with only the entry and exit prices?

Not with a stop-loss. On 13 of 156 NIFTY expiry days from November 2023 to November 2026 the 09:20 straddle rose 50% above entry and still closed below entry at 15:15, so an entry-and-exit test counts them as wins.

What was the median NIFTY 09:20 ATM straddle premium on expiry day?

116.1 points, 0.48% of spot, over 156 NIFTY expiry days from 3 November 2023 to 3 November 2026 in Options Data 1-minute files. Other days had a median of 253.1 points.

Do Options Data NIFTY files include spot at 1-minute?

Yes. The NIFTY Complete packs hold NIFTY spot, futures and options at 1-minute on the same IST clock. The NIFTY options 1-minute packs hold the option chain only.

Are NIFTY 1-minute timestamps the bar start in IST?

Yes. The datetime column is the bar start in IST, timezone-naive, so the 09:20 row covers trades from 09:20:00 to 09:20:59.

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