Supertrend + VWAP Confirmation – Option Selling
Nifty 50 · NIFTY 23250 PE 03 NOV 26 · 2026-11-03 · WEEKLY · 1 trading sessions to expiry
Why the strategy entered
Supertrend turned bullish and futures price is above session VWAP.
Exact strategy entry-rule checks
| Direction | Condition | Recorded result |
|---|---|---|
| Bullish signal / Sell PE | Previous Supertrend Bearish | Passed |
| Bullish signal / Sell PE | Current Supertrend Bullish | Passed |
| Bullish signal / Sell PE | Futures Close Above Session Vwap | Passed |
| Bearish signal / Sell CE | Previous Supertrend Bullish | Not met |
| Bearish signal / Sell CE | Current Supertrend Bearish | Not met |
| Bearish signal / Sell CE | Futures Close Below Session Vwap | 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 | weak | ADX 14 trend strength; direction is not implied by ADX |
| Relative Volume | unavailable | 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.
Exit and trade outcome
stop loss
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 09:22:02 | 2026-11-02T09:22:02.61+05:30 | 2026-11-02 09:22:01 | 0 sec | ₹96.35 | ₹96.60 | 11,570 | 11,245 | ₹96.35 |
| mark | 2026-11-02 09:22:02 | 2026-11-02T09:22:02.61+05:30 | 2026-11-02 09:22:01 | 0 sec | ₹96.35 | ₹96.60 | 11,570 | 11,245 | ₹96.35 |
| entry | 2026-11-02 09:21:02 | 2026-11-02T09:21:02.836+05:30 | 2026-11-02 09:21:02 | 0 sec | ₹95.65 | ₹95.95 | 11,895 | 9,425 | ₹95.65 |
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.