| Underlying | NIFTY Spot → Weekly ATM Options |
| Signal TF | 5-minute chart |
| Indicators | SuperTrend (7, 3) + daily floor pivots |
| Structure | Naked ATM short (CE or PE) |
| Style | Intraday — squared off by 15:20 |
| Lot Size | 65 qty per lot |
| Max Trades | 3 per day |
| Exit | SuperTrend flip, or 15:20 |
1 Strategy Overview
A directional intraday option-selling strategy on NIFTY. It waits for price to break the prior day's pivot resistance/support AND for a fast SuperTrend on the 5-minute chart to agree, then sells the ATM option in the trend's direction to collect premium. The position is held until the SuperTrend flips or the 15:20 cutoff.
2 Entry Signal (SuperTrend + Pivot)
On each closed 5-minute candle, both the SuperTrend and the daily pivot must agree:
- Pivots are standard floor pivots from the previous day: P = (H+L+C)/3, R1 = 2P−L, S1 = 2P−H
- The first 5-minute candle (09:15–09:20) is ignored for signals
Bullish → sell ATM Put
Price closes ABOVE the SuperTrend line AND above R1 (pivot resistance). We sell the ATM Put — betting the up-move holds.
Bearish → sell ATM Call
Price closes BELOW the SuperTrend line AND below S1 (pivot support). We sell the ATM Call — betting the down-move holds.
3 Exit Rules
- SuperTrend flips direction → buy the option back (and possibly reverse into the opposite side)
- 15:20 hard cutoff → all positions squared off regardless of P&L
- No premium stop-loss — risk is bounded by the SuperTrend-flip / time exit only
4 Risk Management
- Maximum 3 trades per day — if the trend isn't captured in three attempts, stop for the day
- Intraday only — no overnight risk; everything is closed by 15:20
- These are NAKED ATM shorts (no hedge) — margin ~₹1.75 lakh per lot and a fast adverse move can hurt before the SuperTrend flips; size accordingly
- Backtested across ~18 months and multiple sub-periods to guard against curve-fitting
Backtest Results
374
Trades
59%
Win Rate
₹1,36,193
Net P&L (1 lot)
~₹1.75L
Margin / lot
~78%
Return on Margin
+₹8,557 / −₹12,025
Best / Worst Trade
⚠️ These are naked ATM option shorts needing full short-option margin (~₹1.75 lakh per lot, SPAN+exposure), so ~₹1,36,193 net over ~18 months is roughly ~78% return on that margin — but with NO stop-loss, a fast adverse move can produce a large loss (worst backtested trade −₹12,025) before the SuperTrend flips. Hypothetical backtest on historical 5-min index + option data, with no slippage modelled and exits assumed to fill at the candle close. Results were consistent across half-year sub-periods, but backtested and past performance are NOT indicative of future results and are not a promise of returns. Options trading carries a high risk of loss. For educational purposes only — not investment advice.
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