Last expiry-week
Period: 31st Dec – 6th Jan
Market Snapshot
| Index | Range |
|---|---|
| Nifty 50 | 25,970 – 26,178 |
| Bank Nifty | 59,190 – 60,118 |
| India VIX | 9.70 – 10.00 |
Credit Spread Strategies (Directional + Defined Risk)
Credit spreads remain one of the most preferred strategy categories in the Stratzy users community, especially during expiry weeks like this.
| Strategy | Expiry Week P&L |
|---|---|
| Curvature Credit Spread Overnight | +0.78% |
| IV-Imbalance Credit Spread Overnight | +5.13% |
| Mathematician’s Credit Spread Overnight | +4.82% |
| Zen Credit Spread Overnight | +5.92% |
| Damper Credit Spread | +3.46% |
| Convex Credit Spread Overnight | -4.51% |
| Chain-Sync Credit Spread Overnight | +5.04% |
| V-Score Credit Spread Overnight | -3.39% |
| Hamilton’s Credit Spread | -10.42% |
| Drifting Credit Spread Overnight | -3.24% |
| Super Entropy Credits | -7.16% |
Even when some strategies faced drawdowns, losses stayed capped by design — a major advantage over naked options.
Short Strangle Strategies
Short strangles need stable ranges + smooth volatility decay, which was missing this week.
| Strategy | Expiry Week P&L |
|---|---|
| Expiry Short Strangle | +2.86% |
| Holonomy’s Short Strangle | +0.54% |
| Carry Forward Strangle | -0.01% |
| Premium-Zone Strangle | -0.30% |
| Intraday Short Strangle | -0.36% |
| Flux Strangle | -0.06% |
| Compressed Strangle | -0.40% |
Directional pushes inside tight ranges kept returns muted.
Short Straddle & Index Strategies
| Strategy | Expiry Week P&L |
|---|---|
| Single Rangetrap Straddle | -3.13% |
| Single Lattice Straddle | +2.62% |
| Quiet Short Straddle | +1.27% |
| Single Kurtosis Straddle | -0.86% |
| Lattice Short Straddles | +0.82% |
| Single Tightgrip Straddle | +1.51% |
| Stratzy’s Index Strategies | +3.53% |
| Theta-Zone Strangle | -2.01% |
Selective execution worked, but directional bias mattered more than volatility.
Aggressive Options Systems (High Risk Zone)
Low VIX combined with directional movement proved challenging for open-risk systems.
| Strategy | Expiry Week P&L |
|---|---|
| Fixed RR 1:3 (30% SL) | -20.98% |
| SkewHunter | -3.86% |
| Index Sniper | -10.43% |
| SkewHunter TSL | -3.68% |
| Index Scalper | -12.13% |
| Vacuum GRID (35% SL) | -28.71% |
| Burst RR 1:2 (25% SL) | -18.69% |
| Burst GRID (30% SL) | -30.46% |
Low VIX does not mean low risk when direction is strong.
Where Alpha Portfolio Fits
Weeks like this explain why Stratzy Alpha Portfolio exists.
Instead of relying on one strategy, Alpha Portfolio:
-
Allocates across multiple non-correlated algos
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Gives preference to defined-risk systems
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Aims to smoothen equity curve across market regimes
It’s not about winning every expiry —
it’s about managing risk at the portfolio level.
Markets won’t behave the same every expiry.
What remains constant is the importance of:
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Risk definition
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Probability-based execution
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Portfolio-level thinking
This philosophy is why many Stratzy users gradually move toward structured Alpha portfolios.
We’ll continue sharing transparent expiry-week performance — wins and drawdowns included — because that’s how a real trading community grows.
During low-VIX but directional expiry weeks, what do you prefer?
Credit Spreads, Strangles, or Directional Options?
- Deepak (Wealth Team)