| Underlying | NIFTY Spot → Weekly Expiry Options |
| Trend TF | 15-minute candles (ORB) |
| Entry TF | 3-minute candles (Bollinger Bands) |
| Style | Intraday — expiry day only, held till expiry |
| Lot Size | 65 qty per trade |
| Max Trades | 2 per day |
| Stop-Loss | 70% above premium sold (×1.7) |
| Indicators | ORB (15-min) + Bollinger Bands (20, 2σ) |
1 Strategy Overview
The Expiry Hunter is an intraday option selling strategy that runs exclusively on NIFTY weekly expiry day. It combines Open Range Breakout for trend identification with Bollinger Band mean reversion for precise entry timing. All positions are hedged with far OTM options.
2 Trend Identification (ORB Logic)
The first 15-minute candle (9:15–9:30) defines the Opening Range. Subsequent 15-min candles determine the day's trend:
- Once identified, the trend is fixed for the rest of the day
- If NIFTY stays inside the ORB range, no trades are taken
Bullish Trend
A 15-min candle closes above the ORB high → trend is Bullish. We will sell PUT options on downward bounces.
Bearish Trend
A 15-min candle closes below the ORB low → trend is Bearish. We will sell CALL options on upward bounces.
3 Trade Philosophy (Mean Reversion)
Trades are taken against short-term counter-trend moves within the broader daily trend. We wait for price to overshoot a Bollinger Band and then reverse back — selling into the pullback.
- Bearish trend → sell CALL options when price bounces up above upper BB and reverses
- Bullish trend → sell PUT options when price dips below lower BB and reverses
4 Entry Rules — Two-Candle Reversal
The strategy uses a two-candle confirmation pattern on the 3-minute chart:
Bearish Trend → Sell ATM Call
- Confirm ORB breakdown on 15-min chart
- On 3-min chart: previous candle closes ABOVE the upper Bollinger Band
- Current candle closes back INSIDE (at or below) the upper band — reversal confirmed
- Sell ATM Call option at market price
- Buy a far OTM Call (₹2–₹4 premium) as hedge
Bullish Trend → Sell ATM Put
- Confirm ORB breakout on 15-min chart
- On 3-min chart: previous candle closes BELOW the lower Bollinger Band
- Current candle closes back INSIDE (at or above) the lower band — reversal confirmed
- Sell ATM Put option at market price
- Buy a far OTM Put (₹2–₹4 premium) as hedge
5 Stop-Loss Rule
Stop-loss is set at 70% above the premium collected from selling the option.
If SL is not hit, positions are held till expiry close.
6 Exit Rules
- Stop-loss hit → exit immediately (SL-Limit buy order triggers automatically)
- No stop-loss hit → hold both legs (sold + hedge) till expiry, where options typically expire worthless
- All positions auto-squared off at 3:14:55 PM as safety net
7 Risk Management
- Runs only on expiry day — no overnight risk
- All positions are hedged spreads (sold ATM + bought far OTM) reducing margin and tail risk
- Maximum 2 trades per day — low frequency, high probability
- No entries after 2:30 PM — avoids last-hour volatility
- Bollinger Bands need 20 candles (60 minutes) to initialize — first signal possible after ~10:15 AM
- Works best in normal-to-low volatility expiry sessions
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