Nifty-Bank Nifty options trading strategies

A system is defined as a set of rules which you follow in trading. It essentially has below components: Instrument : The instrument such as Stock, Futures or Options Entry criterion : When are you going to take a Sell/Buy position in the instrument. It can be time based such as 0930 AM or it can be based on indicator e.g. if an instrument/stock price moves above 50 day moving average etc. Exit Criterion : When are you going to exit the position. Exit can be based on a stop loss, a target or a particular time e.g. in intraday systems positions need to be exited before market close Power of large numbers : All systems are based on belief that if you keep doing same thing again and again then you will make money in long term. Here back testing is of good use where once a system is formed it can be back tested to see if it is profitable in past. Though this doesn't guarantee that system will perform well in future but probability of it being profitable in future will be high.  Strategi

Entry time : 0918 Instrument : Sell Bank Nifty weekly CE and PE option which is trading at a price greater than or equal to 20 at 0918 Please note both CE and PE should be sold e.g. if BN 37200 CE is trading at 21 and BN 33100 PE is trading at 20, I will sell BN 37200 CE (Weekly) and BN 33100 PE (Weekly) Stop-Loss : 50% on both CE/PE Legs Exit : 1515 Slippage : 0.5% Capital: 72,000 MTM SL: You can put a strategy level SL to take exit at loss of 2000 per lot. Generally this stop loss would not be hit but this is to take care of freak trades if any taken by algo platform as happened with me on 17th Jun 22 where instead of selling a BN CE option near to 20, Tradetron sold BN CE option at 1867 which increased to 2107 in few minutes thereby causing a huge loss for such kind of low return strategy.  Note: As this strategy is low return one it need to be traded in more than 1 lot (CE+PE) and using zero brokerage accounts such as Finvasia Note (19-Jan-22): Have re-started trading this strategy

Entry : 0916 AM, 1130, 1330 Instrument : ITM1 based on Bank Nifty spot i.e. ATM - 100 CE and ATM + 100 PE based on Bank Nifty spot price Stop-Loss :  0916 Entry - 40% for each leg with one re-entry at cost 1130 Entry - 30% for each leg with one re-entry at cost 1330 Entry - 20% for each leg with one re-entry at cost Exit : 15:23 PM Capital : 5,55,000  Sell ATM - 100 CE and ATM + 100 PE with SL of 40% on each leg. 1 Re-entry for each leg if after hitting the stop loss for the leg the price comes below the entry price on 1 minute closing candle for that leg. E.g. we sold 34400 CE and 34600 PE at 0916 at 100 each. Now say 34400 CE prices reaches 140 then it will be exited. After this if CE price reaches below 100, 34400 CE will be sold again with same 40% SL Exit for above 3 positions will be 1523  Slippage: 0.5% Back testing and Actual result I started trading this strategy from middle of April 2022 month and hence it shows loss in actual trades for Apr month whereas if traded for full A

Entry: To be taken 17 trading days before expiry day (expiry day to be excluded). Please exclude any trading holidays also while counting 17 trading days Instrument: Sell a Nifty Monthly PUT rounded to near by 100 which is away from ATM by 1.5 times the combined premium of ATM CE + PE monthly option on the entry day e.g. Say Nifty ATM on day of entry is 16400 and the combined premium of 16400 Monthly PE and CE option is 700. Then 700 *1.5 = 1050. 16400 - 1050 = 15350 so we can either sell 15300 or 15400 Nifty monthly PUT. Stop-Loss : 100 points. E.g. if the Nifty PUT was sold at 70 and the price reaches 170, position has to be exited Exit : Whenever the PUT's premium reaches below Rs. 5 or on monthly expiry day at 1520  Slippage: 0% Capital Needed: At entry time a capital of 65-70 k is needed to trade 1 lot. In case the option starts going towards ATM, capital needed might go to 1 Lakh for same.  Back testing & Actual profit/Loss (Updated as of 26 Nov 2022) Back testing  Actu

Entry Time : 0925 AM, 1130 AM and 1330 PM Instrument: Sell ATM - 100 CE and ATM + 100 PE based on bank nifty Spot e.g. if Bank Nifty spot is at 15820, nearest 100 is 15800 so Spot is 15800. In this case 15700 CE and 15900 PE needs to be sold. This is also known as ITM1 inverted strangle Stop-Loss : 75% . In case stop loss is hit for one leg, stop loss for other leg to be adjusted to cost. Entries taken for a particular time frame can be squared off (both legs) once any leg's premium goes below 5 point during the day. Exit : 1520 PM Capital Needed: 185 k per CE + PE lot. As there are 3 entries taken at 0925, 1130 and 1330 so overall capital needed is 5.55 Lakhs Slippage: 0.5% Note (25-Feb-23): I have stopped trading 1130 and 1330 time entry after 2-Feb-23. Still trading 0925 time frame Note (9-Apr-23): Stopped trading 0925 entry also from 29-Mar-23 Note (29-Apr-23): Stopped trading this strategy from 13-Apr-23 You tube video on how to code this strategy in Tradetron --> Bac

Entry : At 0930 AM, 1 day before expiry Instrument : Sell ATM CE and PE based on spot price Stop-Loss : 80% for both the legs Exit: 1:30 PM on expiry day Slippage: 0.5% Capital Needed : 1,05,000 Note: In case by the end of Wednesday, if one leg has hit the SL and other leg's premium is less than 10% of its entry premium, then it can be squared off before end of day Wednesday as there is not much premium left on it for further decay on Thursday (Expiry day).  Note (26-Nov-22): As we are now into low VIX environment, I have stopped using hedges from past 2 expiries. Will shift back to hedges once the VIX increases beyond 20 Note (4-Feb-23): For week ending 3-Feb-23, the strategy hit its maximum loss in history without hedges being in picture as both SL were hit on Wednesday itself so back tested details with hedges is being dis-continued. Updates will be provided for back testing without hedges only.  Updated as on 4-Aug-23 end of day Back testing Actual Trades based profit/loss (S

Entry Time: 0919 Instrument : Sell 1 Lot ATM CE and 1 Lot ATM PE based on spot price at 0919 Stop-Loss: SL 50% on each leg, adjust SL to cost for remaining leg when the SL of a leg is hit. Also when a leg's premium is less than 5 point (mostly it will happen on Thursday), trade will be squared off. This is to take care of those trending days when gain in premium because of 5 point leg becoming zero will be way less than loss because of other leg's premium increasing a lot till it hit 50% of SL. Overall strategy Stop-Loss: -4000  1900 Exit Time: 1455 Slippage: 0.5% Capital Needed: 125k to 130k per CE + PE lot. Returns mentioned in back testing and actuals are based on 130k margin Note (11-Sep-22): Current Drawdown in back testing has gone beyond historical max draw down however in actual trades it is still below max drawdown because of using supertrend based exit in actual trades. Note (17-Oct-22): Strategy has recovered from max drawdown and hence re-started it without supe