To trade volatility and not the price of an underlying- options strategies are found to be the optimal and simple alternative. The present study tries to gauge low volatility option trading strategies. The study uses straddle and strangle written on NIFTY Index on one-month maturity options for a period of five financial years. To assess their performance their non-linear profiles are generated and compared. The paper is segmented in five sections- section 1 and 2 covers the introductory part and previous literature to outline the backbone of the study. Section 3 and 4 enlist the objectives of the study and the research methodology incorporated to conduct the study, respectively. Comparison of the performance of non-directional option strategies and short futures written on the Index is the primary objective. The strategies are written on NIFTY Index on one-month maturity options on strikes with different moneyness. For comparison Mean-variance framework are studied on the obtained returns. To make the study robust status of Greeks for straddle and strangle are also noticed. Section 5 and 6 are the analysis and concluding remarks of the paper. The findings of the study are consistent to previous literatures – the performance of optioned portfolio are better to unoptioned portfolio. Straddle achieves the highest sharpe ratio and is taken superior of the other two.

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Keywords: Writing Strategies, Straddle, Strangle, Greeks, NIFTY 50, Sharpe Ratio.