Verdict
Not testable yet
The bhavcopy files we hold contain futures only, so no option price, implied volatility or margin can be tested; we will not invent premiums.
- Definition used: a strangle with crossed strikes so both options are in the money (the width of the strikes sets the minimum value of the position). The short version collects the premium and is exposed to large moves; the long version pays it and needs a large move.
- Data gap: the supplied MCX bhavcopy has 5,618 rows, all futures (instrument type FUTCOM). Option contracts for CRUDEOILM (listed on MCX; two expiries at a time) need their own bhavcopy rows (OPTFUT) with strike, option type, settlement and open interest.
- Mandate conflict to resolve first: the maximum loss per trade is ₹600 all-in on a ₹1,00,000 account. A short inverted strangle has large, undefined loss and high margin; only a defined-risk version (long strangle, or a hedged structure) can respect the limit, and it needs a move bigger than the premium paid.
- What will be tested once the data arrives: daily marks from settlement prices, entries at fixed days to expiry, exits at a profit target, a time stop or expiry, costs and exchange charges for options, and a comparison with the futures-only studies on the same dates. Hold-out rules unchanged.
Promotion gates
FAIL
Options data available
Futures-only bhavcopy; options rows needed.
Futures-only bhavcopy; options rows needed.
WARN
Fits ₹600 max loss
Only defined-risk variants can.
Only defined-risk variants can.
PENDING
Back-test
Waiting for data.
Waiting for data.
Explain the strategy
A strangle is a bet that oil will make a big move or stay quiet, using two options. In the 'inverted' version both options start with some value already built in. To test whether it would have worked we need past option prices, and we only have futures prices so far, so there is no result to show yet.
Report
Rules and parameters
Rules
- Not frozen. Draft: enter a crossed-strike pair (call strike below the put strike) at a fixed number of days to expiry on the monthly CRUDEOILM option series.
- Exit at a profit target, a time stop, or expiry. Risk: defined-risk variants only.
- Costs: option brokerage per order plus exchange and statutory charges (to be sourced).
Parameters
- capital
- ₹1,00,000
- max loss per trade
- ₹600 all-in
- status
- Draft, no parameters frozen
Instrument
MCX CRUDEOILM options (10 bbl) - not yet testable · capital ₹100,000
Known limitations
- No option prices are held, so no performance, drawdown or margin number is shown.
- Definitions of 'inverted strangle' differ between sources; the one used here is stated above.
Logs and raw data
Downloads appear once a data window is loaded.
Files are plain CSV so results can be re-computed independently. Trade dates are IST sessions; returns are net of modelled costs and slippage.