A marketplace credit spread, an iron fly, an IV filter — and the day gap-and-go was found

Nine of twelve variants of the 1×2 ratio credit spread were negative or earned under ₹13k over eleven to twelve years. The best — puts, near strike 100 points out, far strike 200 — made +₹73k, +₹195 per expiry day, with 24% green days and 61% losing months. The claim's 23-trade window sits in a 2026 stretch where almost every variant was green. The naked expiry straddle with a 30% stop on the same days made +₹815 per expiry with all years green; the ratio "costume" earns at most a quarter of that with similar or worse tails. The subscription price roughly equalled the best variant's entire annual profit per lot.

No. The naked straddle with a 30% per-leg stop made +₹774 per expiry over 378 expiries with a ₹14k maximum drawdown. Wings 150, 200 and 300 points away kept 22%, 29% and 46% of that edge and made the drawdown worse (₹66k, ₹46k, ₹30k). The per-leg stop already does the wings' job; the wing premium is pure drag on a stop-managed book, and it turns choppy months red. The wings' real value — insurance against a gap through the stop — is invisible to a clean-fill backtest, while their cost is visible and certain.

It tells you how much, not whether. Using the opening straddle as a percentage of spot as the IV proxy, the expiry straddle's profit rose monotonically across terciles: ₹513, ₹621 and ₹1,191 per expiry. A tradeable rule — above the trailing 20-day median — earned ₹1,086 per expiry versus ₹530 below it. The low-IV days still earned money with better worst days, so skipping them would have cost ₹1.06L. The right use is a sizing signal: one lot always, a second on fat mornings.

Pre-registration and a plateau. Five families were tested on 2,772 days of minute data: leg momentum, opening-range breakouts, expiry-afternoon gamma, narrow-range long straddles and 13:30 trend continuation. Buying both ATM legs at 9:20 every day — the baseline toll — lost ₹3.51L. My pre-registered favourite, expiry-afternoon gamma, lost. The one family with life was the opening-range breakout, and dissecting it found three mechanisms: deep in-the-money strikes beat ATM (less theta, futures-like), days with a gap of at least 0.5% paid while small-gap days lost, and a breakout aligned with the gap paid while one against it lost. Put together: gap-and-go.

Gap of at least 0.5% versus the previous 15:15 close; opening range 9:15–9:45; first one-minute close beyond the range by 10% of its width, in the gap's direction, before 14:30; buy the option 100–150 points in the money on that side; stop at −30% of premium; trail 20% from the peak once up 5%; otherwise exit at 15:15. Twelve years: 329 trades, +₹2.18L, +₹662 per trade, 46% winners, maximum drawdown ₹32k, profit-to-drawdown 6.7, positive in 10 of 12 years. All sixteen depth-and-trail cells were positive, every gap threshold from 0.3% to 0.8% was positive, every opening-range length was positive — a plateau, not a peak. Parameters chosen on 2015–20 earned +₹1.47L out of sample on 2021–26, and the reverse also held.

Three. 2025 and 2026 were negative (−₹20k and −₹12k on 46 trades — regime or decay, unknowable at that sample); conditions were chosen in-sample across roughly 150 cells, which walk-forward mitigates but does not erase; and 27 trades a year is thin. An independent audit also checked the fill convention — entering one minute after the signal and doubling the spread — and the deeper strike was insensitive to both. Candidate, not edge: it went to a paper bot with a 30-trade gate before any talk of real money.

It passed harder. Same rule, 2018 to November 2024: every depth cell positive, 7 of 7 years on most, +₹521 per trade at the 300-point depth with profit-to-drawdown 9.2. A control with the breakout against the gap made almost nothing on more trades, so alignment is the edge on a second index. Two caveats recorded: BankNifty's edge decays with execution lag (about 15% per minute, unlike NIFTY), and the data predates the move to monthly-only expiries, so the planning number was cut to ₹414 per trade pending live slippage.