Supertrend + VWAP Confirmation – Option Selling
Requires a fresh Supertrend direction flip on futures, confirmed by futures VWAP. The same signal is executed by selling the opposite-side option.
Research assessment
Readiness score: 0 / 100 · Closed trades: 2 · Win-rate 95% interval: 9.5–90.5%
When does this strategy enter?
Every condition listed below must be satisfied on a fresh, completed five-minute signal candle.
Bullish setup → Sell PE
- Supertrend direction on the previous futures candle is bearish (−1).
- Supertrend direction on the current completed futures candle turns bullish (+1).
- Current futures close is above the same-session futures VWAP.
Bearish setup → Sell CE
- Supertrend direction on the previous futures candle is bullish (+1).
- Supertrend direction on the current completed futures candle turns bearish (−1).
- Current futures close is below the same-session futures VWAP.
What the engine calculates
- Supertrend calculated on futures candles using ATR period 10 and multiplier 3.0.
- Session futures VWAP, calculated from typical price × volume.
Required inputs
- Corresponding front-month futures OHLCV candles
- Session VWAP from futures volume
- Latest option-chain snapshot for the underlying
How positions are managed
These common paper-execution rules apply to this strategy.
15% above short premium entry; buy back when ask reaches the stop.
1.25R from initial premium risk; buyer exits on bid strength, seller buys back on ask decay.
New entries are allowed from 09:15 until 14:45 IST.
Open positions are squared off by 15:20 IST. Overnight positions are subject to a safety exit on the next worker cycle.
No fixed daily trade-count cap. One open position and one lot maximum per strategy account. Daily loss threshold remains 1.5% of initial virtual capital.
One lot maximum. If estimated one-lot risk plus charges exceeds the account risk budget, the entry is skipped.
What must pass before an entry?
- Bullish signal sells a PE; bearish signal sells a CE.
- Candidate contract is selected from the configured expiry series (Nifty weekly by default; Bank Nifty monthly by default), with preference for absolute delta near 0.45 when Greeks are available.
- Option quote must be no older than 120 seconds.
- Bid/ask spread must be at most 5.0%; best bid and ask displayed quantities must each cover one lot.
- Simulated entry sells at bid less slippage and exits by buying at ask plus slippage.
- Estimated brokerage, exchange charges, STT, stamp duty, SEBI charges and GST are deducted.
- A conservative one-lot margin reserve plus buffer must fit the separately configured simulated margin capacity per SELL account; this is separate from virtual P&L capital.
Important details
Recent trades and decisions
| Opened | Strategy | Underlying | Contract | Qty | Entry | Exit | Net P&L | Status / exit reason | Assessment |
|---|---|---|---|---|---|---|---|---|---|
| 2026-11-02 13:06:03 | Supertrend + VWAP Confirmation – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23300 CE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹63.90 | ₹49.10 | ₹905.62 | Closedtarget | Decision audit → |
| 2026-11-02 09:21:03 | Supertrend + VWAP Confirmation – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23250 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹95.00 | ₹95.00 | −₹61.58 | Closedstop loss | Decision audit → |
Recent strategy events
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.
No new Supertrend direction change confirmed by VWAP.