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There is a problem with Delta neutral Strategies in whipsaw Markets such as these with large daily moves in either direction. While they start Delta Neutral, the Position goes rapidly south with a sudden large move.
This can be seen in the steepness of the curve in the T+0 line in Strategies such as the Strangle or the Iron Condor. There is a strategy developed by Amy Meisner aka The Condor Queen called the Asymmetrical Iron Condor which I am suitably modifying to Trade this Market
The Strategy which starts DN involves selling 10x Far OTM PE, buying 1x NTM PE and selling 2xOTM CE per unit. It gives a much flatter T+0 curve and is able to absorb large Market moves and even withstand a crash. Plan to develop and experiment with a Model in the Nov expiry.
The Strategy is also known as the Wierdor or the Jeep and was originally designed by Dan Harvey who is also famous for popularizing the Reverse Harvey adjustment.
Here is what it might look like initially. To adjust, add a PE for every 100 Point move down. Sell a suitable PE or move some PE up if it goes up 100. Keep it DN. Initial Capital per tranche roughly 6lacs with a Reserve of 2 lacs for adjustments. Scalable to deploy more Capital 
If Managed properly there is no upside Risk. If the CE value increases by 50%, take off 1CE. If it doubles, take off the other and either remove your NTM PE or roll up your Short PE. Now there is no upside Risk.
