VWAP + EMA Pullback – Option Selling
Trend continuation after a pullback and a confirmed price recovery/rejection. The same signal is executed by selling the opposite-side option.
Research assessment
Readiness score: 0 / 100 · Closed trades: 6 · Win-rate 95% interval: 0.0–39.0%
When does this strategy enter?
Every condition listed below must be satisfied on a fresh, completed five-minute signal candle.
Bullish setup → Sell PE
- Spot close is above the 21 EMA.
- 9 EMA is above 21 EMA on the current completed candle.
- Corresponding futures close is above that session’s futures VWAP.
- Previous spot candle low touched or crossed below/equal to the previous candle’s 9 EMA.
- Current spot candle closes above the previous candle high.
- Current spot candle is bullish: close is greater than open.
Bearish setup → Sell CE
- Spot close is below the 21 EMA.
- 9 EMA is below 21 EMA on the current completed candle.
- Corresponding futures close is below that session’s futures VWAP.
- Previous spot candle high touched or crossed above/equal to the previous candle’s 9 EMA.
- Current spot candle closes below the previous candle low.
- Current spot candle is bearish: close is less than open.
What the engine calculates
- EMA 9 on spot closes
- EMA 21 on spot closes
- Session VWAP on front-month futures using typical price × volume, where typical price = (high + low + close) / 3
Required inputs
- Nifty 50 or Bank Nifty spot candles
- Corresponding front-month futures candles and volume for session VWAP
- Latest option-chain snapshot for the selected underlying
How positions are managed
These common paper-execution rules apply to this strategy.
15% above short premium entry; buy back when ask reaches the stop.
1.25R from initial premium risk; buyer exits on bid strength, seller buys back on ask decay.
New entries are allowed from 09:15 until 14:45 IST.
Open positions are squared off by 15:20 IST. Overnight positions are subject to a safety exit on the next worker cycle.
No fixed daily trade-count cap. One open position and one lot maximum per strategy account. Daily loss threshold remains 1.5% of initial virtual capital.
One lot maximum. If estimated one-lot risk plus charges exceeds the account risk budget, the entry is skipped.
What must pass before an entry?
- Bullish signal sells a PE; bearish signal sells a CE.
- Candidate contract is selected from the configured expiry series (Nifty weekly by default; Bank Nifty monthly by default), with preference for absolute delta near 0.45 when Greeks are available.
- Option quote must be no older than 120 seconds.
- Bid/ask spread must be at most 5.0%; best bid and ask displayed quantities must each cover one lot.
- Simulated entry sells at bid less slippage and exits by buying at ask plus slippage.
- Estimated brokerage, exchange charges, STT, stamp duty, SEBI charges and GST are deducted.
- A conservative one-lot margin reserve plus buffer must fit the separately configured simulated margin capacity per SELL account; this is separate from virtual P&L capital.
Important details
Recent trades and decisions
| Opened | Strategy | Underlying | Contract | Qty | Entry | Exit | Net P&L | Status / exit reason | Assessment |
|---|---|---|---|---|---|---|---|---|---|
| 2026-11-02 13:31:03 | VWAP + EMA Pullback – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23250 CE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹70.85 | ₹86.30 | −₹1,062.91 | Closedstop loss | Decision audit → |
| 2026-11-02 12:21:03 | VWAP + EMA Pullback – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹70.00 | ₹70.00 | −₹58.16 | Closedstop loss | Decision audit → |
| 2026-11-02 12:16:03 | VWAP + EMA Pullback – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹70.00 | ₹65.00 | −₹382.02 | Closedstop loss | Decision audit → |
| 2026-11-02 12:11:03 | VWAP + EMA Pullback – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹75.00 | ₹70.00 | −₹383.31 | Closedstop loss | Decision audit → |
| 2026-11-02 12:01:03 | VWAP + EMA Pullback – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹85.00 | ₹85.00 | −₹60.01 | Closedstop loss | Decision audit → |
| 2026-11-02 09:21:02 | VWAP + EMA Pullback – Option SellingOPTION SELLING | Nifty 50 | NIFTY 23250 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty | 65 | ₹95.00 | ₹95.00 | −₹61.58 | Closedstop loss | Decision audit → |
Recent strategy events
VWAP/EMA pullback conditions not aligned.
VWAP/EMA pullback conditions not aligned.
VWAP/EMA pullback conditions not aligned.
VWAP/EMA pullback conditions not aligned.
Daily loss limit has been reached.
SELL execution model uses the same signal: Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.
Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.
Daily loss limit has been reached.
SELL execution model uses the same signal: Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.
Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.