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VWAP + EMA Pullback – Option Selling
Nifty 50 · NIFTY 23300 PE 03 NOV 26 · 2026-11-03 · WEEKLY · 1 trading sessions to expiry
CLOSED sell · LONG · PE
Entry premium₹85.00Simulated bid − slippage
Stop / target₹100.00 / ₹65.00Initial plan
Maximum favourable3.24%Observed favourable executable-side excursion
Maximum adverse0.00%Observed adverse executable-side excursion
Why the strategy entered
Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.
EMA 923,313.526
EMA 2123,305.916
EMA 9 slope-0.036
EMA 21 slope-0.003
EMA spread0.033
RSI 1455.498
ATR 1422.012
ATR %0.094
ADX 1428.156
+DI 1419.463
−DI 1419.828
Exact strategy entry-rule checks
| Direction | Condition | Recorded result |
|---|---|---|
| Bullish signal / Sell PE | Spot Close Above Ema21 | Passed |
| Bullish signal / Sell PE | Ema9 Above Ema21 | Passed |
| Bullish signal / Sell PE | Futures Close Above Session Vwap | Passed |
| Bullish signal / Sell PE | Previous Low Touched Previous Ema9 | Passed |
| Bullish signal / Sell PE | Current Close Above Previous High | Passed |
| Bullish signal / Sell PE | Current Candle Bullish | Passed |
| Bearish signal / Sell CE | Spot Close Below Ema21 | Not met |
| Bearish signal / Sell CE | Ema9 Below Ema21 | Not met |
| Bearish signal / Sell CE | Futures Close Below Session Vwap | Not met |
| Bearish signal / Sell CE | Previous High Touched Previous Ema9 | Not met |
| Bearish signal / Sell CE | Current Close Below Previous Low | Not met |
| Bearish signal / Sell CE | Current Candle Bearish | Not met |
Additional market-context checks
| Check | Observed value | Meaning |
|---|---|---|
| Ema Alignment | bullish | EMA 9 versus EMA 21 alignment |
| Price Vs Ema21 | above | Spot close relative to EMA 21 |
| Futures Vwap | above | Front futures close relative to same-session futures VWAP |
| Rsi Momentum | bullish | RSI 14 momentum zone |
| Adx Trend Strength | strong | ADX 14 trend strength; direction is not implied by ADX |
| Relative Volume | below_average | Aligned front-month futures candle volume versus prior same-session futures average |
| Candle Direction | bullish | Signal candle body direction |
Option contract and execution quality
Strike/Greeks come from the option-chain snapshot; execution price, timestamps and depth come from Upstox Full Market Quotes V3.
Strike23,300.000
Expiry2026-11-03
Expiry seriesWEEKLY
Expiry classification sourceupstox_weekly_flag
Calendar DTE1.000
Trading-session DTE1.000
Expiry weekdayTuesday
Signal weekdayMonday
Entry weekdayMonday
Expiry week flag1.000
Expiry day flag0.000
One session before expiry1.000
Two sessions before expiry0.000
LTP88.250
Best bid88.050
Best ask88.300
Spread %0.284
Quote sourceUpstox Full Market Quotes V3
Quote response time (IST)2026-11-02 12:01:03
Last trade time (IST)2026-11-02 12:01:03
Quote response age (sec)0.000
Last trade age (sec)0.000
Top-5 bid depth9,490.000
Top-5 ask depth14,560.000
Max allowed quote age (sec)120.000
Max allowed spread (%)5.000
Delta-0.467
Theta-41.717
Gamma0.002
Vega5.193
IV18.400
Volume319,728,890.000
Open interest22,195,290.000
Previous OI371,475.000
Best bid quantity1,690.000
Best ask quantity2,990.000
PCR0.985
POP33.170
Strike distance (points)14.750
Strike distance (%)0.063
Estimated risk1,035.450
Entry IV18.400
Exit IV18.550
IV change0.150
Entry delta-0.467
Exit delta-0.466
Delta change0.001
Theta change-0.354
Gamma change-0.00010
Vega change-0.002
Exit and trade outcome
stop loss
Exit price₹85.00
Exit IV18.550
Exit spread0.23%
Exit quote age0 sec
Gross P&L₹0.00
Estimated charges₹60.01
Net P&L−₹60.01
Quote observations1
Last mark₹87.75
MAE/MFE use the position-side executable quote (bid for BUY accounts, ask for SELL accounts) captured by the minute-level worker. They may not include intraminute extremes or every executable market price.
Full Market Quotes V3 audit trail
Exchange quote response time, last-trade time and top-five market depth snapshots used for simulated entries, marks and exits.
| Phase | Requested at | Quote response (exact) | Last trade | Quote age | Best bid | Best ask | Bid depth | Ask depth | Depth VWAP |
|---|---|---|---|---|---|---|---|---|---|
| exit | 2026-11-02 12:02:03 | 2026-11-02T12:02:03.269+05:30 | 2026-11-02 12:02:02 | 0 sec | ₹87.75 | ₹87.95 | 10,205 | 8,775 | ₹87.75 |
| mark | 2026-11-02 12:02:03 | 2026-11-02T12:02:03.269+05:30 | 2026-11-02 12:02:02 | 0 sec | ₹87.75 | ₹87.95 | 10,205 | 8,775 | ₹87.75 |
| entry | 2026-11-02 12:01:03 | 2026-11-02T12:01:03.739+05:30 | 2026-11-02 12:01:03 | 0 sec | ₹88.05 | ₹88.30 | 9,490 | 14,560 | ₹88.05 |
Top-five depth VWAP is a paper fill estimate based on displayed exchange quantities at the time of the snapshot. It cannot guarantee actual execution, queue priority or protection against cancellations and rapid market changes.