Nifty 0DTE, 21-07: Four for Four, and Why That Worries Me

Fourth in the 0DTE series. Structure as per the original write-up.

Profit: ₹3,204. Fourth win out of four. Series total ₹16,921.

This post is mostly not about the trade. Four wins in a row is the point at which a journal either does some work or becomes a highlight reel, so the trade goes first and briefly, and then the arithmetic that should be bothering me.

The trade

• Debit paid: 43.15 + 50.35 = 93.50
• Credit received: 3 × (15.55 + 11.45) = 81.00
• Net debit: 12.50 points → ₹937.50 (lot size 75)

₹3,204 across 75 is 42.72 points, which puts the index roughly 55 points from the 24,250 pivot at exit — 24,305 up or 24,195 down, same payoff either way. That is 49% of the peak, on a realised move of about 0.23% of the index.

Two features worth flagging.

The strikes are symmetric this time. 100 points either side of the pivot, equal peaks of ₹6,562.50 on both wings. The previous three all had the short put placed further out than the short call — 500/400, 150/100, 400/300 — because of skew. This one did not. I have not decided whether that is because the chain simply priced it that way this week or because I unconsciously corrected after writing about the lean on the 17th. Not knowing which is itself a process failure: the strike rule should be explicit enough that I can tell.

The profit band is the narrowest of the four. 24,106 to 24,394 is 287.5 points, about 1.2% of the index, against 375 points on the 14th and 1,291 points on Sensex on the 9th. The tent keeps shrinking because implied volatility keeps falling.

Four trades, one number each

The profit column is monotonically decreasing. That is not bad luck and it is not decay in my execution — it is volatility compression, visible in the shrinking realised moves and the narrowing tents, and it has been running in one direction since the 8th of July.

This structure is long realised range and short the tails. As the range shrinks, the middle of the tent gets thinner. Nothing about the four trades suggests the method has stopped working; everything about them suggests the environment is paying less for it each week.

The part that actually worries me

Four expiries. Four times the index settled somewhere inside the profit band. Zero times it did not.

That means the sample contains no observations at all of the only event that can seriously hurt this structure: a settlement past a breakeven, where I am net short two lots and losing at twice the speed of the index.

Some arithmetic to make it concrete. On the 21st, the profit band was 287.5 points wide. If Nifty had run to 24,600 — 250 points past the upper breakeven, about 1% of the index, an entirely ordinary day in a bad week — the position loses roughly 500 points at 2×, which is around ₹37,500 on a lot of 75. Against a cash outlay of ₹937.50 and a series total of ₹16,921.

One bad expiry erases two months of this.

And I have direct evidence that days like that exist, because I wrote about one two weeks ago. On 08-07 the market moved a thousand points in an afternoon and took ₹7,000 out of three separate short-premium positions of mine simultaneously. If I had been running this structure that day, the tail would have been the least survivable thing in my book.

So the honest scorecard is not "4 for 4". It is: four samples drawn from a calm fortnight, none of which tested the failure mode, on a structure whose failure mode is uncapped. A win rate computed on a sample that excludes the loss scenario is not a win rate. It is a description of the weather.

What has to change before the next one

1. Write the tail exit. A hard rule for what happens when the index approaches a breakeven — a level, an action, and a time by which it must be done. Every one of these four trades has been run without one. The four wins are the reason I have never had to notice.
2. Size against the tail, not the debit. ₹937.50 of cash outlay is not the risk. Roughly ₹37,500 on a 1% adverse move is nearer the risk. Position size should be set from the second number, which almost certainly means fewer lots than I have been running.
3. Decide the strike rule explicitly. Symmetric distances, or credit-balanced distances with an accepted directional lean. Written down, so the next trade's asymmetry is a decision instead of an accident.
4. Track realised range as an input, not a result. The tent is shrinking faster than the cost of building it. There is a level of implied volatility at which this structure stops being worth putting on, and I want to compute it rather than discover it.

Where the series stands

The first 0DTE trade in the journal sits in its own post and is not counted here; the weekly and monthly condor book is tracked separately and reconciled on its own ledger.

Sixteen thousand nine hundred and twenty-one rupees, and not one data point on the thing that can take it.

Disclaimer

This is a personal trading journal. It is a record of my own trades, my own money and my own mistakes — nothing more.

Nothing here is a trade recommendation, a tip, a call, or advice of any kind. I am not a registered adviser and I am not qualified to tell anyone what to do with their capital. The strikes, premiums, entries and exits above are what I did, not what you should do.

If you read this blog and place a trade because of it, that trade is yours. I accept no responsibility for anyone else's losses. Do your own research, size for your own risk, and understand that options can lose you more, faster, than you expect.