Abstract
This study aims to measure the volatility behavior and movement property of the Nifty Index through the strap option strategies by using the trigonometric ratio of options (tan [Formula: see text]). These strategies have been analyzed on the data from 2007 to 2020 on a monthly basis. Long and short strap strategies have been used in this analysis. In both strap option strategies, the angle [Formula: see text] lies more in the bearish volatility quadrant and the range-bound movement quadrant, which indicates that any trader on the Nifty can consistently apply the short strap option for profit generation trading in Nifty.
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