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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₹75.00Simulated bid − slippage
Stop / target₹90.00 / ₹55.00Initial plan
Maximum favourable0.00%Observed favourable executable-side excursion
Maximum adverse-4.00%Observed adverse executable-side excursion
Why the strategy entered
Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.
EMA 923,315.166
EMA 2123,307.972
EMA 9 slope0.003
EMA 21 slope0.011
EMA spread0.031
RSI 1459.197
ATR 1421.859
ATR %0.094
ADX 1422.346
+DI 1421.156
−DI 1417.215
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 | Passed |
| 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 | developing | ADX 14 trend strength; direction is not implied by ADX |
| Relative Volume | above_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
LTP78.100
Best bid78.150
Best ask78.350
Spread %0.256
Quote sourceUpstox Full Market Quotes V3
Quote response time (IST)2026-11-02 12:11:03
Last trade time (IST)2026-11-02 12:11:03
Quote response age (sec)0.000
Last trade age (sec)0.000
Top-5 bid depth30,355.000
Top-5 ask depth6,565.000
Max allowed quote age (sec)120.000
Max allowed spread (%)5.000
Delta-0.455
Theta-40.490
Gamma0.002
Vega5.164
IV17.850
Volume343,608,395.000
Open interest22,019,985.000
Previous OI371,475.000
Best bid quantity1,560.000
Best ask quantity1,105.000
PCR1.051
POP32.600
Strike distance (points)23.000
Strike distance (%)0.099
Estimated risk1,033.880
Entry IV17.850
Exit IV17.680
IV change-0.170
Entry delta-0.455
Exit delta-0.437
Delta change0.018
Theta change0.601
Gamma change0.00000
Vega change-0.032
Exit and trade outcome
stop loss
Exit price₹70.00
Exit IV17.680
Exit spread0.35%
Exit quote age0 sec
Gross P&L−₹325.00
Estimated charges₹58.31
Net P&L−₹383.31
Quote observations1
Last mark₹72.00
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 12:12:03 | 2026-11-02T12:12:03.261+05:30 | 2026-11-02 12:12:03 | 0 sec | ₹72.00 | ₹72.25 | 8,840 | 9,685 | ₹72.00 |
| mark | 2026-11-02 12:12:03 | 2026-11-02T12:12:03.261+05:30 | 2026-11-02 12:12:03 | 0 sec | ₹72.00 | ₹72.25 | 8,840 | 9,685 | ₹72.00 |
| entry | 2026-11-02 12:11:03 | 2026-11-02T12:11:03.3+05:30 | 2026-11-02 12:11:03 | 0 sec | ₹78.15 | ₹78.35 | 30,355 | 6,565 | ₹78.15 |
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.