Automating an Index Options Straddle Strategy

The Problem

Challenge

The client ran a weekly index options at-the-money straddle, needing to adjust delta at regular intervals throughout the day. With manual execution, each adjustment took several minutes — by which time the underlying had often moved further. The client was consistently adjusting too late, accumulating directional risk that eroded premium income.

Our Approach

Solution

We built a Python bot connected to the client's broker API that runs continuously during market hours. On a configurable interval, it calculates the net delta of all open option positions using real-time Greeks from the options chain endpoint. When delta exceeds a configured threshold, it places the minimum adjustment hedge (buy/sell futures or long delta options) to rebalance. Fills are confirmed within seconds of signal generation.

Outcomes

Results

• Adjustment latency dropped from several minutes to a matter of seconds
• Missed delta adjustments were eliminated during the observed live-operation period
• Monthly premium collection improved compared to the manual baseline
• The bot handles multiple simultaneous expiry weeks with no additional manual effort
• Telegram alerts notify the client of every adjustment and a daily P&L summary