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Supertrend + VWAP Confirmation
Nifty 50 · NIFTY 23250 PE 03 NOV 26 · 2026-11-03 · WEEKLY · 1 trading sessions to expiry
CLOSED BUY · SHORT · PE
Entry premium₹89.85Simulated ask + slippage
Stop / target₹76.35 / ₹106.75Initial plan
Maximum favourable29.88%Observed favourable executable-side excursion
Maximum adverse0.00%Observed adverse executable-side excursion
Why the strategy entered
Supertrend turned bearish and futures price is below session VWAP.
EMA 923,291.376
EMA 2123,301.466
EMA 9 slope-0.081
EMA 21 slope-0.042
EMA spread0.043
RSI 1438.505
ATR 1422.968
ATR %0.099
ADX 1420.237
+DI 1413.051
−DI 1427.645
Exact strategy entry-rule checks
| Direction | Condition | Recorded result |
|---|---|---|
| Bullish signal / Buy CE | Previous Supertrend Bearish | Not met |
| Bullish signal / Buy CE | Current Supertrend Bullish | Not met |
| Bullish signal / Buy CE | Futures Close Above Session Vwap | Not met |
| Bearish signal / Buy PE | Previous Supertrend Bullish | Passed |
| Bearish signal / Buy PE | Current Supertrend Bearish | Passed |
| Bearish signal / Buy PE | Futures Close Below Session Vwap | Passed |
Additional market-context checks
| Check | Observed value | Meaning |
|---|---|---|
| Ema Alignment | bearish | EMA 9 versus EMA 21 alignment |
| Price Vs Ema21 | below | Spot close relative to EMA 21 |
| Futures Vwap | below | Front futures close relative to same-session futures VWAP |
| Rsi Momentum | bearish | 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 | bearish | 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.
Strike23,250.000
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
LTP89.700
Best bid89.400
Best ask89.600
Spread %0.223
Quote sourceUpstox Full Market Quotes V3
Quote response time (IST)2026-11-02 13:06:03
Last trade time (IST)2026-11-02 13:06:03
Quote response age (sec)0.000
Last trade age (sec)0.000
Top-5 bid depth8,385.000
Top-5 ask depth3,705.000
Max allowed quote age (sec)120.000
Max allowed spread (%)5.000
Delta-0.471
Theta-44.905
Gamma0.002
Vega5.082
IV19.440
Volume286,318,240.000
Open interest13,194,090.000
Previous OI163,475.000
Best bid quantity2,275.000
Best ask quantity65.000
PCR1.544
POP33.380
Strike distance (points)13.550
Strike distance (%)0.058
Estimated risk936.420
Entry IV19.440
Exit IV20.320
IV change0.880
Entry delta-0.471
Exit delta-0.531
Delta change-0.060
Theta change-2.010
Gamma change-0.00010
Vega change-0.016
Exit and trade outcome
target
Exit price₹116.40
Exit IV20.320
Exit spread0.21%
Exit quote age0 sec
Gross P&L₹1,725.75
Estimated charges₹64.01
Net P&L₹1,661.74
Quote observations4
Last mark₹116.70
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 13:10:05 | 2026-11-02T13:10:05.071+05:30 | 2026-11-02 13:10:04 | 0 sec | ₹116.70 | ₹116.95 | 4,680 | 5,915 | ₹116.70 |
| mark | 2026-11-02 13:10:05 | 2026-11-02T13:10:05.071+05:30 | 2026-11-02 13:10:04 | 0 sec | ₹116.70 | ₹116.95 | 4,680 | 5,915 | ₹116.70 |
| mark | 2026-11-02 13:09:03 | 2026-11-02T13:09:03.558+05:30 | 2026-11-02 13:09:03 | 0 sec | ₹104.60 | ₹104.85 | 5,395 | 38,090 | ₹104.60 |
| mark | 2026-11-02 13:08:03 | 2026-11-02T13:08:03.053+05:30 | 2026-11-02 13:08:02 | 0 sec | ₹97.85 | ₹98.00 | 7,280 | 7,215 | ₹97.85 |
| mark | 2026-11-02 13:07:03 | 2026-11-02T13:07:03.738+05:30 | 2026-11-02 13:07:03 | 0 sec | ₹99.20 | ₹99.45 | 6,045 | 9,425 | ₹99.20 |
| entry | 2026-11-02 13:06:03 | 2026-11-02T13:06:03.22+05:30 | 2026-11-02 13:06:03 | 0 sec | ₹89.40 | ₹89.60 | 8,385 | 3,705 | ₹89.60 |
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.