USE CASE · WEEKLY STRADDLE TO EXPIRY · CATALOG VERIFIED 2026-11-11

Which data do you need to backtest a NIFTY weekly short straddle held to expiry?

A NIFTY weekly short straddle held to expiry needs the 1-minute option file of the same expiry for every session from entry to expiry, plus NIFTY spot on the same IST clock to set the strike and the settlement value. Across 153 NIFTY weekly expiries from 9 November 2023 to 3 November 2026 in Options Data (optionsdata.shop) files, the 09:20 IST at-the-money straddle sold on the first session of the expiry week settled below its entry premium in 56.2% of weeks. Options, futures and spot together: NIFTY Complete, 3 years.

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

NIFTY weekly short straddle, Options Data 1-minute option and spot files, weekly expiries 9 Nov 2023 to 3 Nov 2026 (153 weeks). Entry = sum of call and put 09:20 IST bar opens on the first session after the previous weekly expiry; strike = NIFTY spot 09:20 bar open rounded to 50, held to expiry. Settlement = intrinsic value at the last NIFTY 50 1-minute bar close of expiry day. Path = sum of the two leg closes each minute. Costs not deducted.

Measure	All weeks	Thursday expiries (to 28 Aug 2025)	Tuesday expiries (from 2 Sep 2025)
Weeks	153	93	60
Median entry premium	313.4 points (1.32% of spot)	315.4 points (1.36%)	303.6 points (1.21%)
Weeks settled below entry premium	56.2%	57.0%	55.0%
Median premium kept at settlement	21.5%	25.7%	12.5%
Weeks the straddle rose 50%+ above entry at some minute	43.8% (67)	39.8% (37)	50.0% (30)
Weeks settled above twice the entry premium	19	12	7

Median NIFTY weekly straddle value at the 15:15 IST bar close as a share of the 09:20 entry premium, by trading sessions left to expiry, same 153 weeks. Weeks with four sessions or fewer start at a lower row.

Sessions left to expiry	Weeks	Median value at 15:15 (% of entry)
4	109	97.3%
3	150	94.6%
2	153	86.0%
1	153	77.5%
0 (expiry day)	153	78.4%

What data does a NIFTY weekly short straddle backtest need?

A NIFTY weekly short straddle held to expiry needs four inputs: NIFTY spot at 09:20 IST on the entry day to fix the at-the-money strike, the call and put of that strike in one weekly expiry for every session until expiry, every minute of both legs for stop-loss checks, and the NIFTY 50 close on expiry day for settlement.

Options Data NIFTY option files hold one trading day of one expiry each, with datetime, expiry_date, strike_price, right, open, high, low, close, volume and open_interest at 1-minute, timestamped as IST bar starts. A weekly hold joins the files of the same expiry across sessions. Coverage dates are on the NIFTY option chain data page.

Why does a NIFTY weekly straddle backtest need every session, not only entry and expiry?

A NIFTY weekly straddle backtest needs every session because the stop-loss can trigger on any day of the week. In 67 of 153 weeks from November 2023 to November 2026, the straddle rose 50% or more above entry at some minute; in 16 of those 67 weeks it still settled below entry, so an entry-and-settlement test scores them as wins.

Overnight gaps decide part of the NIFTY weekly straddle result. In 10 of the 67 weeks with a 50% rise, the first minute at or above 1.5 times entry was the opening bar of a later session, so a stop placed at 50% filled above its level.

How much of the NIFTY weekly straddle premium does a seller keep?

The NIFTY weekly at-the-money straddle sold at 09:20 IST on the first session of the expiry week collected a median 313.4 points, 1.32% of spot, over 153 weeks to 3 November 2026. A median 21.5% of that premium was kept at settlement, and the straddle settled below entry in 56.2% of weeks, before costs.

Losing NIFTY weekly straddle weeks can cost more than the premium collected. In 19 of 153 weeks the straddle settled at more than twice the entry premium, including the week to 3 November 2026, when NIFTY 50 closed at 23,810.85 against a 22,600 strike sold at 423.25 points on 28 October 2026.

How fast does the NIFTY weekly straddle lose value by sessions left?

The NIFTY weekly straddle lost little value early in the expiry week and most of it in the last two sessions. At the 15:15 IST bar close, the median straddle stood at 97.3% of entry with four sessions left, 94.6% with three, 86.0% with two and 77.5% on the day before expiry, measured over 153 weeks from November 2023 to November 2026.

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

NSE moved NIFTY weekly expiry from Thursday to Tuesday under circular FAOP68685; the last Thursday weekly expiry was 28 August 2025 and the first Tuesday expiry was 2 September 2025. A weekly entry after a Tuesday expiry falls on Wednesday; after a Thursday expiry it fell on Friday.

Measured on Options Data files, the NIFTY weekly straddle kept a median 25.7% of premium over 93 Thursday-expiry weeks and 12.5% over 60 Tuesday-expiry weeks to 3 November 2026. The straddle rose 50% above entry at some minute in 39.8% of Thursday weeks and 50.0% of Tuesday weeks. The expiry date sits in the expiry_date column of every row.

How is a NIFTY weekly straddle settled at expiry in a backtest?

NIFTY weekly options settle on the closing price of the NIFTY 50 index in the NSE Capital Market segment on expiry day, per the NSE settlement-price page. A held straddle is therefore worth the absolute difference between that close and the strike, and a backtest needs the NIFTY 50 close for every expiry day.

NIFTY expiring options trade until 15:40 IST in files dated from 3 August 2026 and until 15:30 IST before, but the settlement value is fixed by the index close. Expiry-day timing is covered in the NIFTY closing auction guide and the 9:20 intraday straddle guide.

How were the NIFTY weekly straddle figures measured?

Method: for each NIFTY weekly expiry from 9 November 2023 to 3 November 2026, the entry day was the first weekday session after the previous expiry. The strike was the NIFTY spot 09:20 bar open rounded to 50 points, entry was the sum of the call and put 09:20 bar opens, and the minute path was the sum of the two leg closes, carried forward through minutes without a trade.

In the NIFTY weekly straddle measurement, settlement was the intrinsic value at the last NIFTY 50 1-minute bar close of expiry day. Weeks without a 09:20 trade in both legs on the entry day were skipped, leaving 153 weeks of three to five sessions. Files dated 3 July 2023 to 31 July 2026 use older column names, which the script renames.

import glob, pandas as pd
names = {"timestamp": "datetime", "strike": "strike_price", "option_type": "right", "expiry": "expiry_date"}
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
expiry, entry_day = "2026-10-27", "2026-10-21"   # first session after the previous expiry
s = bars(f"NIFTY_SPOT_1min_{entry_day}.parquet")
k = round(s.loc[s["hm"] == "09:20", "open"].iloc[0] / 50) * 50   # ATM strike, held all week
path = []
for f in sorted(glob.glob(f"NIFTY_OPT_1min_*_exp{expiry}.parquet")):   # every session, same expiry
    if f.split("_")[3] < entry_day: continue           # monthly expiries have earlier files
    o = bars(f); o = o[o["strike_price"] == k]
    o = o.assign(leg=o["right"].astype(str).str[0].str.upper())
    px = o.pivot_table(index="hm", columns="leg", values="close").ffill()
    if f.split("_")[3] == entry_day:
        entry = o.loc[o["hm"] == "09:20", "open"].sum()   # call + put 09:20 opens
        px = px.loc["09:20":]
    path.append(px.sum(axis=1))
spot_close = bars(f"NIFTY_SPOT_1min_{expiry}.parquet")["close"].iloc[-1]
print(entry, abs(spot_close - k), max(p.max() for p in path) / entry)

Which NIFTY pack should I buy for a weekly straddle backtest?

Buy NIFTY Complete, 3 years for a weekly straddle backtest that sets the strike and the settlement from NIFTY spot: it holds NIFTY options, futures and spot at 1-minute on one IST clock and spans both expiry weekdays. NIFTY options, 1-minute, 3 years holds the option chain only.

The free NIFTY sample shows the option and spot file layouts before buying. Strike selection without spot, using put-call parity on the same expiry, is in the NIFTY options vs futures and spot guide.

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 weekly straddle held to expiry?

The 1-minute call and put of the at-the-money strike in one weekly expiry for every session from entry to expiry, NIFTY spot at 09:20 IST on the entry day for the strike, and the NIFTY 50 close on expiry day for settlement.

How often did a NIFTY weekly short straddle settle below its entry premium?

In 56.2% of 153 weekly expiries from 9 November 2023 to 3 November 2026, for the 09:20 IST at-the-money straddle sold on the first session of the expiry week, before costs, in Options Data 1-minute files.

What was the median NIFTY weekly ATM straddle premium?

313.4 points, 1.32% of spot, at the 09:20 IST bar open on the first session of the expiry week, over 153 NIFTY weekly expiries from November 2023 to November 2026.

What price settles NIFTY weekly options?

The closing price of the NIFTY 50 index in the NSE Capital Market segment on the expiry day, per the NSE settlement-price page.

Which weekday do NIFTY weekly options expire on?

Tuesday from 2 September 2025, and Thursday up to 28 August 2025, moved earlier when the day is an exchange holiday. Every row in Options Data NIFTY option files carries its expiry in the expiry_date column.

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