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0DTE Options Strategy

0DTE Options Strategy

Intermediate ★ Very High NSE Fit Daily (Expiry) 9/10 Popularity

An options-based strategy extremely well-suited for NSE F&O markets. Leverages the unique characteristics of NIFTY and BANK NIFTY weekly options including time decay, volatility cycles, and expiry behaviour.

Complexity
Intermediate
Easy to implement
NSE Suitability
Very High
9.2 / 10 score
Timeframe
Daily (Expiry)
Short to medium term
Best For
Options Traders
5–15 days moves
Indicators Used
1
Options Chain
Win Rate (Backtest)
26.9%
Below 50% threshold
Avg Return / Trade
-0.08%
Per trade, after costs
Max Drawdown
-5.6%
Within typical range
Trades / Year
26
Statistically reasonable sample
About the 0DTE Options Strategy Strategy
The 0DTE Options Strategy targets profits from options expiring on the same day they are traded, capitalizing on rapid time decay and intraday volatility movements in the NSE equity segment. This approach seeks to capture gamma and theta dynamics as options lose extrinsic value within their final hours of existence.

The strategy holds particular relevance on NSE due to the exchange's liquid derivative markets and pronounced intraday volatility patterns in major indices and stocks. Index options like Nifty 50 and Bank Nifty offer sufficient liquidity and tight spreads necessary for same-day entry and exit execution. NSE's standard market hours also create predictable volatility windows, particularly around economic data releases and the market open, where 0DTE options experience accelerated price movement.

Traders typically identify setups by analyzing the options chain for strike prices near current spot price levels, looking for situations where implied volatility is elevated relative to realized volatility. The strategy often involves selling premium through short calls or puts at strikes expected to remain out-of-the-money, or buying cheap premium on near-the-money options anticipating larger directional moves than current pricing suggests. Execution depends heavily on managing intraday Greeks and closing positions well before expiry to avoid assignment risk.
Who This Strategy Is For
This Intermediate strategy suits Options Traders comfortable with a Daily (Expiry) timeframe and holding periods around several days. It's built for the Equity segment on NSE, so it fits traders who can check positions without needing intraday execution speed.
Equity Curve (Backtest) HIGH QUALITY
Tested on: RELIANCE  ·  2021-07-05 to 2026-07-15
Total Return
-2.2%
CAGR
-0.5%
Sharpe Ratio
-0.21
Sortino Ratio
-0.32
Calmar Ratio
-0.09
Win Rate
26.9%
NSE Market Fit
9 OUT OF 10
Very High Fit
This strategy is well-suited for current NSE market conditions.
Win rate quality Needs Caution
Risk-adjusted return Needs Caution
Drawdown control Excellent
Trade frequency (sample size) Good
Sharpe ratio Needs Caution
Monthly Returns Heatmap
20222023202420252026
Jan -0.8% — — -0.7% —
Feb -0.5% -0.5% — -1.2% -0.7%
Mar +1.9% — — — -0.9%
Apr — — -0.6% -0.8% —
May — +0.9% -0.7% +1.9% -0.1%
Jun -0.1% — -0.9% — —
Jul — — +1.8% — —
Aug — — -1.1% — —
Sep -0.1% — — -0.5% —
Oct — — -0.9% +0.9% —
Nov +1% — — — —
Dec — +0.9% -0.6% — —
Positive return Negative return
Performance vs Nifty 50
Nifty 50 comparison isn't available for this backtest period yet.
Trade Distribution
26 Total
Profitable 7 (26.9%)
Losing 19 (73.1%)
↑ Avg Win +1,333
↓ Avg Loss -606
★ Best Trade +1,917
▼ Worst Trade -1,075
Returns Distribution
Recent Backtest Results
Period Symbol Capital Total Return CAGR Max Drawdown Win Rate Trades Sharpe Ratio View
2 Years (2024–2026) RELIANCE ₹100,000 -2.2% -0.5% -5.6% 26.9% 26 -0.21 View
💡 Tip: Backtest on more data to increase confidence. Our users get best results with 3+ years of backtesting. Run Extended Backtest
How It Works (Quick Overview)
1
Step 1
Identify the market direction and key support/resistance levels on the NIFTY or BANK NIFTY chart
2
Step 2
Select the appropriate strike price based on Delta and time to expiry — ATM or slightly OTM
3
Step 3
Enter on a confirmed directional signal — manage with a 30–50% premium stop loss and defined target
View Detailed Rules & Setup →

Best Market Conditions

This strategy performs best in:

How This Strategy Works
1
Identify the market direction and key support/resistance levels on the NIFTY or BANK NIFTY chart
2
Select the appropriate strike price based on Delta and time to expiry — ATM or slightly OTM
3
Enter on a confirmed directional signal — manage with a 30–50% premium stop loss and defined target
Entry & Exit Rules
Risk Management Rules
Risk Per Trade
1.0%
of total capital
Min Capital
₹30,000
Hold Period
5–15 days
Segment
Equity, Futures
Common Mistakes to Avoid
⚠️ As with any systematic strategy, the most common mistake is deviating from the defined entry/exit rules mid-trade based on emotion rather than the backtested logic.
Full Backtest Report

Backtested on RELIANCE · 2021-07-05 to 2026-07-15 · Capital ₹100,000

Equity Curve

Live tracking coming soon

We're building forward-tested, paper-trade tracking for this strategy so you can see how it performs on live NSE data — not just historical backtests. Check back soon.

No sample trades added yet for this strategy.

Strategy Parameters
ParameterDefaultMinMaxTypeDescription
expiry_time morning — — select Time window to trade 0DTE options
delta_target 0.30 0.10 0.50 decimal Delta of option strike to target
delta_target 0.30 0.10 0.50 decimal Delta of option to buy or sell
stop_loss_pct 50 20 100 decimal Max loss as % of premium paid
stop_loss_pct 50 20 100 decimal Max loss as % of premium paid
profit_target_pct 100 50 300 decimal Exit when profit reaches this % of premium
profit_target_pct 100 50 300 decimal Target profit as % of premium paid
entry_window morning — — select Time window to enter 0DTE trades
Frequently Asked Questions
A 0DTE (zero days to expiry) strategy involves buying or selling options that expire on the same day. On NSE, this applies to weekly Nifty and BankNifty options every Thursday. Because time value collapses to zero by close, both buyers and sellers face amplified risk and reward within a single session.
No. 0DTE trades move extremely fast — a 1% Nifty move can wipe out an entire options premium in minutes. Beginners should first practice with weekly options having 5-7 days to expiry before attempting same-day expiry trades.
The first 30 minutes (9:15-9:45 AM) and the last hour (2:00-3:30 PM) offer the clearest directional moves. Midday is typically choppy and unfavorable for 0DTE buyers. Sellers often enter between 10-11 AM after the opening range is established.
Never risk more than 1-2% of your capital on a single 0DTE trade. Premiums can go to zero in under an hour. Many experienced traders cap total 0DTE exposure at 5% of capital per day regardless of how many trades they take.
Related Strategies

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SEBI Compliance Disclaimer

MomentumIQ is an educational platform for strategy research and backtesting. We do not provide investment advice, recommendations, or tips. All backtest results are hypothetical, based on historical data, and for educational purposes only. Past performance is not indicative of future results. Backtested results may not account for brokerage, slippage, taxes, or other real-world costs. Please consult a SEBI-registered investment advisor before making any investment decisions.