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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₹70.00Simulated bid − slippage
Stop / target₹85.00 / ₹50.00Initial plan
Maximum favourable0.00%Observed favourable executable-side excursion
Maximum adverse-3.36%Observed adverse executable-side excursion
Why the strategy entered
Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.
EMA 923,319.243
EMA 2123,310.479
EMA 9 slope0.025
EMA 21 slope0.020
EMA spread0.038
RSI 1462.716
ATR 1421.937
ATR %0.094
ADX 1420.983
+DI 1424.866
−DI 1415.929
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
LTP71.000
Best bid70.850
Best ask71.000
Spread %0.211
Quote sourceUpstox Full Market Quotes V3
Quote response time (IST)2026-11-02 12:16:03
Last trade time (IST)2026-11-02 12:16:02
Quote response age (sec)0.000
Last trade age (sec)1.000
Top-5 bid depth14,235.000
Top-5 ask depth15,275.000
Max allowed quote age (sec)120.000
Max allowed spread (%)5.000
Delta-0.420
Theta-40.015
Gamma0.002
Vega5.088
IV17.850
Volume356,531,565.000
Open interest22,215,440.000
Previous OI371,475.000
Best bid quantity1,300.000
Best ask quantity2,925.000
PCR1.260
POP30.800
Strike distance (points)41.800
Strike distance (%)0.179
Estimated risk1,033.600
Entry IV17.850
Exit IV17.940
IV change0.090
Entry delta-0.420
Exit delta-0.403
Delta change0.017
Theta change0.160
Gamma change0.00000
Vega change-0.049
Exit and trade outcome
stop loss
Exit price₹65.00
Exit IV17.940
Exit spread0.22%
Exit quote age0 sec
Gross P&L−₹325.00
Estimated charges₹57.02
Net P&L−₹382.02
Quote observations1
Last mark₹67.65
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 12:17:03 | 2026-11-02T12:17:03.364+05:30 | 2026-11-02 12:17:02 | 0 sec | ₹67.65 | ₹67.80 | 16,120 | 14,625 | ₹67.65 |
| mark | 2026-11-02 12:17:03 | 2026-11-02T12:17:03.364+05:30 | 2026-11-02 12:17:02 | 0 sec | ₹67.65 | ₹67.80 | 16,120 | 14,625 | ₹67.65 |
| entry | 2026-11-02 12:16:03 | 2026-11-02T12:16:03.316+05:30 | 2026-11-02 12:16:02 | 0 sec | ₹70.85 | ₹71.00 | 14,235 | 15,275 | ₹70.85 |
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.