Change-in-OI imbalance buy
This intraday strategy reads the day's change in open interest across 15 strikes around the money. If puts have added much more open interest than calls since the open, put writers are taken to be confident and the strategy buys the ATM call; if calls have added much more, it buys the ATM put. Each trade has a fixed percentage stop and target, and the strategy can flip once the signal reverses.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
Like other option-buying signals, this one only pays when the index moves decisively after entry. Trend days that closed near their high or low made ₹86,999 over 77 trades with a 57% win rate, as the OI imbalance pointed the same way as the day's move. Quiet sessions lost ₹1,03,598 over 125 trades with a 26% win rate, because an ATM option bought on a quiet day decays toward its 30% stop long before a 60% gain is possible. Choppy days lost ₹61,965 over 85 trades, often after a flip trade. Days with NIFTY below its 20-day average lost ₹70,654 over 152.
About this strategy
- Every 5 minutes from 09:30 to 14:30, take the ATM strike of the nearest NIFTY weekly and the 7 strikes either side.
- Add up the change in put open interest and in call open interest since 09:15 across those 15 strikes.
- If put OI change minus call OI change exceeds 10% of the window's total open interest, the signal is bullish; below minus 10% it is bearish.
- On a bullish signal buy one lot of the ATM call; on a bearish one, the ATM put.
- Exit on a 30% loss or a 60% gain of the premium, or at 15:15.
- After an exit, trade again only if the signal flips to the other side before 14:30.
Why traders use it
Option writers are usually larger, better-capitalised traders, so heavy fresh put writing is read as a sign they expect support below the market, and heavy call writing as a cap above. The change-in-OI difference is shown on most option-chain screens and widely discussed by intraday traders. Turning it into a rule with a fixed threshold, stop and target removes the guesswork of reading the chain by eye.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 the strategy took 289 trades, about 24 a month, and won 36%: 150 hit the 30% stop, 57 the 60% target and 82 were sold at 15:15. That win rate was just above breakeven for a 2-to-1 target, but time exits and partial moves pulled the average loss up to ₹1,900 against ₹2,631 for wins. Net P&L was a ₹77,820 loss before costs and ₹92,906 after ₹20 per order and slippage. Only October, March and April made money.
What the settings do
Risks
- Bought ATM options lose time value through the day, so a signal without a quick move becomes a loss.
- Open interest can be moved by a few large traders and by hedging, so the imbalance does not always mean direction.
- The flip rule can add a second loss on a choppy day.
- A low win rate means long losing runs, 11 in a row in this test.
Who it suits
Intraday option buyers who use open interest data and want a mechanical rule with capped risk per trade, and who can accept long losing runs while waiting for trend days.
Questions traders ask
What does change in OI mean in options?
It is how much the number of open contracts at a strike has changed over a period, here since the market opened. Rising OI means new positions; when it rises with falling premium, writers are usually the ones adding.
How is the PE minus CE change in OI used?
When puts gain much more open interest than calls near the money, put writers are read as expecting the market to hold up, which is taken as bullish; the opposite imbalance is read as bearish. This strategy buys the ATM call or put accordingly.
Is the change in OI option buying strategy profitable?
In this NIFTY backtest from 1 Oct 2025 to 30 Sep 2026 it lost ₹77,820 before costs and ₹92,906 after ₹20 per order and bid-ask slippage, with a ₹1,02,937 drawdown before costs. Statutory charges are not included. Past results do not guarantee future ones.
Why is the threshold a percentage of open interest?
Fixed contract counts stop working when lot sizes and market activity change. Expressing the imbalance as a share of the window's total open interest keeps the threshold comparable over time.