Max Pain based weekly option strategy

I recently read about Artemis ( so based on that, i want to try a new strategy, but before that, i just want to ensure it does not lead to all the false results. so if someone can help on the thought process, it would be great.

The idea is as follows:
Rather than shorting when week starts and waiting till the weekly expiry, what if we sell the max pain upper range CE and lower range PE on daily basis and close the trade if any of the following conditions are met:

  1. if max pain has changed
  2. if either of the upper or lower range has changed
  3. if in loss of 50% of premium received
  4. if in profit of 50% of the prices
  5. close at the EOD at 2.45 or some other time if none of the above conditions are met

is the above idea some what valid or it will make only brokerage every day?

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We run it. Models suggests, instead of following the strangle straddle; do the straddle.

  1. If you are doing positional - The net outcome has low difference if you choose the straddle or strangle approach but for intraday, it has huge different !!!

  2. Rebalance Method - We follow it differently. You can refer here

The best approach is to rebalance it based on “Daily BEP”.


The Daily BEP is a very tricky thing.

20000CE , 20000PE sold with net IC of 1000 will not have BEP of 19000-21000. Thats for expiry only. Actually daily based range will be smaller.


Managing delta can be another approach but I have never tried because I don’t have any clue how to forumate that. It will break the basics of first theory.

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