Strategy 3 — Double Calendar Straddle
DC_DRY_RUN = True. Scanner fires and positions are tracked with simulated fills, but no real orders are placed. Switch to live by setting DC_DRY_RUN = False in config.py.
How it works
A Double Calendar executes two simultaneous ATM straddles on the same underlying (NIFTY) and same strike, but different expiries: it SELLS the near-expiry (weekly Tuesday) straddle to collect fast-decaying Theta, and BUYS the far-expiry (last Tuesday of month) straddle to hedge Vega risk and cap maximum loss.
This is a Vega-long, Theta-neutral strategy. P&L is driven primarily by IV levels, not by how far spot moves. The current entry band is near IV 15–25% (elevated enough for premium, but not event-risk territory), so that theta front-loading on the near leg exceeds the far leg's premium cost. Entry creates a small net debit; the profit target is 32% of that debit, net of all transaction costs.
Entry Filters (all must pass)
| Filter | Config | Why |
|---|---|---|
| DTE to near expiry | DC_MIN_DTE=3 to DC_MAX_DTE=7 | Enough time for theta advantage; not so short that gamma dominates |
| Near ATM IV ≥ min | DC_MIN_IV = 15% | Enter only when near IV is high enough for the straddle premium to support the theta edge |
| Near ATM IV ≤ max | DC_MAX_IV = 25% | Avoid event risk (results, RBI) — IV could explode and kill the short near leg |
| Far−Near IV gap | DC_MAX_IV_SPREAD = 5% | Skip if far expiry has event premium priced in (far IV much higher than near) |
| Near straddle premium | DC_MIN_NEAR_STRADDLE = 80 pts | Enough theta to collect to make the trade worthwhile |
| Controlled MDC scale-in | 90 min + meaningful move + healthy anchor | A second DC-family position is considered only after a genuinely new market move; identical option legs are always rejected |
max(200 points, 50% of the anchor near straddle). The anchor must remain OPEN, have live P&L available, and stay above a −10% loss threshold. MDC then reclassifies the market normally and may choose any eligible DC-family structure. The executor rejects an exact repeat of the complete option security-ID set before dry-run simulation or broker orders.
Expiry Selection Logic
P&L Calculator + Theta Advantage Simulator
Adjust the inputs to model your trade. The time slider shows how theta decay affects each leg. Profit target is 32% of net debit; three stop triggers shown below.