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Supertrend + VWAP Confirmation – Option Selling
Nifty 50 · NIFTY 23300 CE 03 NOV 26 · 2026-11-03 · WEEKLY · 1 trading sessions to expiry
CLOSED SELL · SHORT · CE
Entry premium₹63.90Simulated bid − slippage
Stop / target₹73.50 / ₹51.90Initial plan
Maximum favourable23.40%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 / Sell PE | Previous Supertrend Bearish | Not met |
| Bullish signal / Sell PE | Current Supertrend Bullish | Not met |
| Bullish signal / Sell PE | Futures Close Above Session Vwap | Not met |
| Bearish signal / Sell CE | Previous Supertrend Bullish | Passed |
| Bearish signal / Sell CE | Current Supertrend Bearish | Passed |
| Bearish signal / Sell CE | 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.
Strike23,300.000
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
LTP64.500
Best bid64.100
Best ask64.300
Spread %0.312
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 depth27,885.000
Top-5 ask depth33,085.000
Max allowed quote age (sec)120.000
Max allowed spread (%)5.000
Delta0.436
Theta-35.578
Gamma0.002
Vega5.029
IV15.560
Volume573,544,920.000
Open interest21,904,415.000
Previous OI6,370,325.000
Best bid quantity4,550.000
Best ask quantity3,770.000
PCR0.838
POP31.150
Strike distance (points)36.450
Strike distance (%)0.157
Estimated risk681.100
Entry IV15.560
Exit IV15.810
IV change0.250
Entry delta0.436
Exit delta0.361
Delta change-0.075
Theta change1.193
Gamma change-0.00010
Vega change-0.265
Exit and trade outcome
target
Exit price₹49.10
Exit IV15.810
Exit spread0.31%
Exit quote age0 sec
Gross P&L₹962.00
Estimated charges₹56.38
Net P&L₹905.62
Quote observations7
Last mark₹48.95
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 13:13:03 | 2026-11-02T13:13:03.118+05:30 | 2026-11-02 13:13:02 | 0 sec | ₹48.80 | ₹48.95 | 18,655 | 18,070 | ₹48.95 |
| mark | 2026-11-02 13:13:03 | 2026-11-02T13:13:03.118+05:30 | 2026-11-02 13:13:02 | 0 sec | ₹48.80 | ₹48.95 | 18,655 | 18,070 | ₹48.95 |
| mark | 2026-11-02 13:12:03 | 2026-11-02T13:12:03.848+05:30 | 2026-11-02 13:12:03 | 0 sec | ₹52.75 | ₹52.90 | 17,810 | 18,590 | ₹52.90 |
| mark | 2026-11-02 13:11:03 | 2026-11-02T13:11:03.954+05:30 | 2026-11-02 13:11:03 | 0 sec | ₹53.35 | ₹53.50 | 16,705 | 24,310 | ₹53.50 |
| mark | 2026-11-02 13:10:05 | 2026-11-02T13:10:05.071+05:30 | 2026-11-02 13:10:04 | 0 sec | ₹52.25 | ₹52.45 | 13,065 | 17,485 | ₹52.45 |
| mark | 2026-11-02 13:09:03 | 2026-11-02T13:09:03.558+05:30 | 2026-11-02 13:09:03 | 0 sec | ₹57.45 | ₹57.50 | 10,270 | 12,805 | ₹57.50 |
| mark | 2026-11-02 13:08:03 | 2026-11-02T13:08:03.053+05:30 | 2026-11-02 13:08:02 | 0 sec | ₹60.65 | ₹60.70 | 19,695 | 40,560 | ₹60.70 |
| mark | 2026-11-02 13:07:03 | 2026-11-02T13:07:03.738+05:30 | 2026-11-02 13:07:03 | 0 sec | ₹60.40 | ₹60.60 | 16,250 | 21,840 | ₹60.60 |
| entry | 2026-11-02 13:06:03 | 2026-11-02T13:06:03.271+05:30 | 2026-11-02 13:06:03 | 0 sec | ₹64.10 | ₹64.30 | 27,885 | 33,085 | ₹64.10 |
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.