Short strangle on Sensex
Sell an out-of-the-money call and an out-of-the-money put. You keep the premiums if the index stays between the strikes; the loss outside them is not capped. Shown per lot of 20 with illustrative numbers.
Contract basics. Sensex lot size: 20. Sensex has weekly options on BSE expiring every Thursday, so this example uses 7 days to expiry. Strikes in this example are rounded to the 100-point strike interval.
A structure for a view that the index will stay within a range. Losses outside the range are uncapped.
| Leg | Premium per unit | Cash flow |
|---|---|---|
| Sell 1 lot 83,500 CE | ₹139.47 | +₹2,789 |
| Sell 1 lot 80,500 PE | ₹101.35 | +₹2,027 |
Profit and loss at expiry
For the whole position, before charges.
Premiums are theoretical Black–Scholes values from round, illustrative inputs, not market prices. Charges and margin are not included.Price a single leg with your own numbers.
Frequently asked questions
What is the maximum loss of a short strangle on Sensex?
The loss is not capped. In this illustrative example the position collects ₹4,816 but can lose far more if Sensex moves sharply.
What is the lot size of Sensex options?
20 units per lot at the time of writing. Lot sizes are revised by the exchange from time to time; check the current size before trading.
When do Sensex options expire?
Sensex has weekly options on BSE expiring every Thursday, so this example uses 7 days to expiry.
What is the maximum profit on a short strangle?
The combined premium received, if the index ends between the two strikes.
What is the difference between a short strangle and an iron condor?
An iron condor adds bought options beyond each strike, which caps the loss and lowers the margin, at the cost of a smaller premium.