Structurally June 2020 series is having a monthly gap and that is a bearish odds which brings the possibility of Nifty Futures testing sub 9600 levels to close the gap. The monthly gap is primarily created post the announcement of GDP data

In-Order to play for this Monthly Gap one can consider using ITM Puts hedged with x2 times of OTM Short calls. Thing could bring some cushion for traders to manage the theta decay in the Put Options.
Entry
Buy 1 lot of 10100PE (ATM Puts) – 25th June 2020 Expiry at 274.50/Lot
Hedge Protection
Sell 2 lot of 10500CE (OTM Calls) – 25th June 2020 Expiry at 105.60/Lot
Buy 2 lots of 11000CE (OTM Calls) – 25th June 2020 Expiry at Rs27.70/Lot
Total Margin Required for Hedged Position : 82,986/-
Nifty LTP : 10107

Strategy Breakeven Point : 9981
Exit on Nifty Closing the Monthly gap (i.e Nifty Futures testing 9557 levels)
Strategy Risk Level : Moderate Risk Level and Risk increases if Nifty starts moving above 10500 level.
What if Scenario on Expiry Closing
Nifty Spot Expiry | Expiry Date | Profit/Loss |
9,000.00 | 25-Jun-20 | 73,597.50 |
9,050.00 | 25-Jun-20 | 69,847.50 |
9,100.00 | 25-Jun-20 | 66,097.50 |
9,150.00 | 25-Jun-20 | 62,347.50 |
9,200.00 | 25-Jun-20 | 58,597.50 |
9,250.00 | 25-Jun-20 | 54,847.50 |
9,300.00 | 25-Jun-20 | 51,097.50 |
9,350.00 | 25-Jun-20 | 47,347.50 |
9,400.00 | 25-Jun-20 | 43,597.50 |
9,450.00 | 25-Jun-20 | 39,847.50 |
9,500.00 | 25-Jun-20 | 36,097.50 |
9,550.00 | 25-Jun-20 | 32,347.50 |
9,600.00 | 25-Jun-20 | 28,597.50 |
9,650.00 | 25-Jun-20 | 24,847.50 |
9,700.00 | 25-Jun-20 | 21,097.50 |
9,750.00 | 25-Jun-20 | 17,347.50 |
9,800.00 | 25-Jun-20 | 13,597.50 |
9,850.00 | 25-Jun-20 | 9,847.50 |
9,900.00 | 25-Jun-20 | 6,097.50 |
9,950.00 | 25-Jun-20 | 2,347.50 |
10,000.00 | 25-Jun-20 | -1,402.50 |
10,050.00 | 25-Jun-20 | -5,152.50 |
10,100.00 | 25-Jun-20 | -8,902.50 |
10,150.00 | 25-Jun-20 | -8,902.50 |
10,200.00 | 25-Jun-20 | -8,902.50 |
10,250.00 | 25-Jun-20 | -8,902.50 |
10,300.00 | 25-Jun-20 | -8,902.50 |
10,350.00 | 25-Jun-20 | -8,902.50 |
10,400.00 | 25-Jun-20 | -8,902.50 |
10,450.00 | 25-Jun-20 | -8,902.50 |
10,500.00 | 25-Jun-20 | -8,902.50 |
The strategy has protection up to 10500 levels. If Nifty goes beyond 10500 levels it requires exit on the hedge until then, No strategy adjustment is required.
Update on 12th June 2020 (9.18a.m)
Strategy Status : Closed
Strategy made net gain of +385.6 gain points i.e Rs28920/-

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