Last expiry-week
Period: 7th Jan – 13th Jan 2026
This expiry week was very different from the previous one.
While volatility picked up slightly, directional strength increased, creating a mixed environment where some aggressive systems thrived while others struggled.
Market Snapshot
| Index | Range |
|---|---|
| Nifty 50 | 25,730 – 26,140 |
| Bank Nifty | 59,580 – 60,040 |
| India VIX | 10.00 – 11.20 |
Overall impact:
Moderate VIX expansion with directional moves helped directional and momentum-based systems, while range-dependent sellers pressure.
Credit Spread Strategies (Directional + Defined Risk)
Credit spreads continued to show strong adaptability, especially those aligned with direction and volatility structure.
| Strategy | Expiry Week P&L |
|---|---|
| Curvature Credit Spread Overnight | +2.93% |
| IV-Imbalance Credit Spread Overnight | +10.35% |
| Mathematician’s Credit Spread Overnight | +2.93% |
| Zen Credit Spread Overnight | +21.18% |
| Damper Credit Spread | +1.04% |
| Convex Credit Spread Overnight | -5.21% |
| Chain-Sync Credit Spread Overnight | +2.36% |
| V-Score Credit Spread Overnight | +10.65% |
| Hamilton’s Credit Spread | +3.73% |
| Drifting Credit Spread Overnight | -4.55% |
| Super Entropy Credits | +3.46% |
| Theta-Harvest Credit Spread Expiry | -0.21% |
| Vega-Shift Credit Spread Expiry | -16.89% |
| Rolling-Carry Credit Spread (Exit-Early) | +5.45% |
| Delta-Leverage Credit Spread Overnight | -4.44% |
| Theta-Flux Credit Spread Overnight | +5.89% |
| Gamma-Fluxer Credit Spread Overnight | +6.50% |
| Delta-Rotation Credit Spread Expiry | +9.08% |
| Ratio-Return Credit Spread (Exit-Early) | -6.97% |
When direction aligns, credit spreads can capture upside while still limiting downside, reinforcing why they remain a core portfolio component.
Short Strangle Strategies
Directional movement and rising VIX made this a challenging week for strangles.
| Strategy | Expiry Week P&L |
|---|---|
| Expiry Short Strangle | -0.48% |
| Holonomy’s Short Strangle | -3.41% |
| Carry Forward Strangle | +0.18% |
| Premium-Zone Strangle | -0.95% |
| Intraday Short Strangle | -1.46% |
| Flux Strangle | -2.98% |
| Compressed Strangle | -1.93% |
| Theta-Zone Strangle | +0.52% |
Observation:
Strangles struggled as price expanded directionally instead of consolidating.
Short Straddle & Index Strategies
| Strategy | Expiry Week P&L |
|---|---|
| Single Rangetrap Straddle | -7.82% |
| Single Lattice Straddle | -1.55% |
| Quiet Short Straddle | -4.30% |
| Single Kurtosis Straddle | -3.21% |
| Lattice Short Straddles | -0.03% |
| Single Tightgrip Straddle | -1.09% |
| Stratzy’s Index Strategies | +0.87% |
Directional expansion reduced effectiveness of short gamma strategies.
Directional & Aggressive Option Systems
This week clearly showed that when direction is strong, aggressive systems can outperform — but with higher dispersion.
| Strategy | Expiry Week P&L |
|---|---|
| Fixed RR 1:3 (30% SL) | -0.88% |
| SkewHunter | +33.47% |
| Index Sniper | -13.02% |
| SkewHunter TSL | +34.10% |
| Index Scalper | -34.84% |
| Vacuum GRID (35% SL) | -3.14% |
| Burst RR 1:2 (25% SL) | +33.72% |
| Burst GRID (30% SL) | +37.35% |
High returns came with high variance — emphasizing the need for controlled allocation.
Where Alpha Portfolio Fits
Weeks like this highlight the role of Stratzy Alpha Portfolio.
Instead of chasing whichever strategy worked:
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Alpha Portfolio balances defined-risk spreads + selective directional systems
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Limits overexposure to extreme outcomes
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Focuses on portfolio-level consistency
Strong weeks from aggressive systems are captured without depending on them entirely.
Highlights
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Directional movement dominated market behavior.
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Credit spreads benefited from directional alignment.
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Strangles & straddles struggled due to lack of consolidation.
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Aggressive systems delivered outsized returns — with higher risk.
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Portfolio diversification remained critical.
The goal is not to predict which strategy will shine —
but to build a structure that survives all regimes.
That’s why at Stratzy, we focus on:
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Risk definition
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Strategy diversification
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Portfolio thinking over individual wins
We’ll continue sharing transparent expiry-week data, exactly as it is — because learning comes from clarity, not perfection.
This expiry favored directional aggression.
Would you increase exposure to such systems — or stick with defined-risk portfolios?