Option buyingIntradayNIFTYmedium complexity

Squeeze confluence scalp

This intraday NIFTY option-buying scalp waits for three signals to line up on 5-minute futures candles: a recent cross of the 9 and 20 EMAs, price on the same side of VWAP, and Bollinger Bands widening out of a tight squeeze. When all three agree it buys the at-the-money call or put of the nearest weekly expiry, then exits on a 15% premium stop, a 30% premium target or 15:15. Daily loss and losing-streak limits pause trading.

Buys the NIFTY weekly ATM call or put when a 9/20 EMA cross, the VWAP side and a Bollinger squeeze breaking open all agree on 5-minute candles, with a 15% stop and 30% target.

Market viewEither direction (follows the move)

TradesNIFTY weekly ATM option bought, 1 leg

RiskLimited to the premium paid

CapitalPremium only

SuitsIntermediate

Trades a month10.2

Typical hold26 min

Profitable months6 of 12

Longest losing run7 trades

Made money inTrend days that close near the high or lowWeekly expiry days (Tuesday)Calm markets with India VIX below 11.5

Lost money inQuiet sessions with a range under 0.75%Choppy days that close mid-rangeGap-up openings of 0.4% or more

Default settings

Symbol

SL %

Tgt %

Bb len

Bb std

Squeeze pctile

Cross bars

Entry from

Last entry

Exit time

Max trades

Capital

Daily loss %

Pause after stops

Pause sessions

Lots

Backtest this strategy →Change any setting, pick your own period and run it in the Quantsapp web app. Backtesting is part of the Max plan. Pro+ members can use it now as a free trial.

How it trades

What it trades

Universe

NIFTY Intraday · 1 Oct 25 → 30 Sep 26

Enters

5-minute close 09:30 to 14:45 when EMA cross, VWAP side and squeeze release agree

Legs

BUY CE · ATM, on a bullish set-up · Nearest weekly · 1 lotBUY PE · ATM, on a bearish set-up · Nearest weekly · 1 lot

Exits

stop premium 15% below entrytarget premium 30% above entrytime 15:15

Re-entry

Yes, up to 4 trades a day

Bars

5-minute bars of the rolled near-month future, anchored at 09:15 and continuous across sessions; EMA 9 and EMA 20 of the closes, Bollinger Bands (BB_LEN, BB_STD) and the session VWAP of the future.

Entry

on a 5-minute close between ENTRY_FROM and LAST_ENTRY when all three agree - - EMA 9 crossed above EMA 20 within the last CROSS_BARS bars and is still above (below for puts); - the close is above the session VWAP (below for puts); - the band width (upper - lower) / middle rose on each of the last two bars, and two bars ago it was in the bottom SQUEEZE_PCTILE % of the previous SQUEEZE_LOOKBACK bars (a squeeze breaking open). Buy LOTS of the ATM call (bullish) or ATM put (bearish), nearest weekly expiry, at that close. One trade at a time, at most MAX_TRADES a session.

Stop

the option premium falls SL_PCT % below its entry price (filled at the level).

Target

the option premium rises TGT_PCT % above its entry price (filled at the level).

Exit

anything open at EXIT_TIME.

Risk

no new trade once the session's realised loss reaches DAILY_LOSS_PCT % of CAPITAL; after PAUSE_AFTER_STOPS stop-outs in a row, sit out the next PAUSE_SESSIONS sessions (the source's 48-hour pause).

Results

PRE-BUILT · DEFAULTS

NIFTY · 2025-10-01 → 2026-09-30 · 122 trades · before costs

Net P&L−₹8,050

Win rate36%

Max drawdown−₹26,798

Avg per trade−₹66

Profit factor0.91

Worst trade−₹3,017

Where it made and lost money

In this test the scalp needed a real intraday trend. Trades on 28 trend days made +₹19,972 with a 61% win rate, because a squeeze that breaks open on such a day carries the option to its 30% target. On 63 quiet sessions it lost ₹16,722 and on 31 choppy days ₹11,300, both with a 29% win rate: the breakout fades and the tight 15% premium stop is hit. Weekly expiry days made ₹10,039 over 29 trades, as fast-moving, low-priced ATM options reached the target more easily, while other days lost ₹18,089 over 93. Gap-up openings lost ₹13,195 over 20 trades.

Kind of session on the entry day

Quiet session (range under 0.75%)−₹16,72263 trades29% won

Trend day (closed near the high or low)+₹19,97228 trades61% won

Choppy day (wide range, closed mid-range)−₹11,30031 trades29% won

Expiry day (NIFTY weekly)

Expiry day+₹10,03929 trades62% won

Other days−₹18,08993 trades28% won

Day of the week

Monday−₹4,85318 trades22% won

Tuesday+₹10,03929 trades62% won

Wednesday−₹37920 trades35% won

Thursday−₹1,45325 trades28% won

Friday−₹9,53629 trades28% won

How the entry day opened

Gap up of 0.4% or more−₹13,19520 trades15% won

Flat open+₹5,24979 trades42% won

Gap down of 0.4% or more−₹10423 trades35% won

Session direction on the entry day

NIFTY closed above its open+₹1,72556 trades38% won

NIFTY closed below its open−₹9,77666 trades35% won

India VIX the evening before

VIX below 11.5 (calm)+₹3,34030 trades43% won

VIX 11.5-14.5 (normal)−₹6,06353 trades30% won

VIX above 14.5 (nervous)−₹5,32739 trades38% won

Trend going in

Uptrend (NIFTY above its 20-day average)−₹8,03453 trades32% won

Downtrend (NIFTY below its 20-day average)−₹1769 trades39% won

The same trades, split by the market conditions around each entry, before costs.

About this strategy

Build 5-minute candles of the near-month NIFTY future and track the 9 and 20 EMAs, the session VWAP and 20-period Bollinger Bands.
Between 09:30 and 14:45, look for a candle close where the 9 EMA crossed the 20 EMA within the last three candles, the close is on the same side of VWAP, and the band width has risen for two candles straight after sitting in its lowest 20% of the last 100 candles.
A bullish set-up buys the ATM call of the nearest weekly expiry; a bearish one buys the ATM put; one trade at a time, at most four a day.
Exit when the premium falls 15% below entry or rises 30% above it; anything still open is closed at 15:15.
Stop trading for the day once losses reach 3% of ₹1 lakh capital, and sit out two sessions after three stop-outs in a row.

Why traders use it

Each of the three signals is popular on its own, and stacking them is meant to keep only the strongest set-ups: trend from the EMA cross, buyer or seller control from VWAP, and a burst of volatility from the squeeze release. Buying ATM options means the loss on any trade is limited to the premium, while gamma makes the option gain quickly if the move takes off. The daily cap and cool-off rules are there to stop a bad day or a bad week from spiralling.

Works best whenClear trend days that close near their high or low, where the squeeze breaks open into a sustained move; in this test weekly expiry Tuesdays and calm evenings with India VIX below 11.5 were also the profitable groups.

Struggles whenQuiet sessions with a range under 0.75% and wide, choppy days, where the squeeze release fizzles and the 15% premium stop is hit; gap-up openings and non-expiry days also lost money in this test.

The year in plain words

On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the scalp made 122 trades and won 36%, losing ₹8,050 before costs with a profit factor of 0.91. The exit mix explains it: 71 trades hit the 15% premium stop against 39 that reached the 30% target, and 12 closed at 15:15. A typical trade lasted about 26 minutes. November and May each made around ₹7,000, while June lost ₹10,236 and the drawdown reached ₹26,798. After ₹20 per order and bid-ask slippage, the loss grew to ₹13,746.

What the settings do

SL %How far the option premium may fall before the trade is closed. At 15% it sits within normal 5-minute noise for an ATM weekly; wider stops are hit less often but lose more each time.Tgt %The premium gain at which profit is booked. Higher targets need bigger moves and are reached less often.Bb lenThe number of candles in the Bollinger Band average, which sets how the squeeze is measured.Bb stdThe band width in standard deviations. It changes the width values but the squeeze test is relative, so its effect is modest.Squeeze pctileHow narrow the bands must have been, as a percentile of recent widths, to count as a squeeze. Higher values accept looser squeezes and produce more trades.Cross barsHow many candles old the EMA cross may be. 1 needs the cross on the same candle as the squeeze release, which almost never happens.Entry fromThe earliest candle close that can trigger a trade.Last entryThe latest candle close that can trigger a trade.Exit timeWhen any open option is sold.Max tradesThe most trades allowed in one session.CapitalThe rupee base for the daily loss cap. It does not change position size, only when the cap is reached.Daily loss %The realised loss, as a percentage of CAPITAL, at which no more trades are taken that day.Pause after stopsHow many stop-outs in a row trigger a break from trading.Pause sessionsHow many sessions are skipped after that losing streak.

Risks

A 15% stop on an ATM weekly option is inside ordinary 5-minute swings, so many trades are stopped before the move can develop.
Bought options lose time value through the day, which works against trades that drift sideways.
Combining three filters leaves few trades and many parameters, so results can change a lot with small setting changes.
Losses per trade are limited to the premium, but frequent small losses added up to a losing year in this test.

Who it suits

Intraday option buyers who want a strict, multi-filter entry, can automate 5-minute decisions, and prefer a loss capped at the premium paid, accepting a low win rate and a losing result in this test.

Questions traders ask

What is a Bollinger Band squeeze?

A squeeze is a period when Bollinger Bands are unusually narrow because price has been quiet. Traders watch for the bands to widen again, a sign that a burst of movement has started. Here a squeeze means band width in the lowest 20% of the last 100 five-minute candles, followed by two candles of widening.

Is the EMA, VWAP and squeeze scalp profitable on NIFTY?

Not in this backtest. From 1 Oct 2025 to 30 Sep 2026 it lost ₹8,050 before costs and ₹13,746 after ₹20 per order and bid-ask slippage, with 71 stops against 39 targets. Past results do not guarantee future ones.

Why buy ATM options instead of futures?

ATM options have the highest gamma, so their premium reacts strongly to a fast move, and the most a buyer can lose is the premium paid. The trade-off is time decay, which eats into the premium on slow days.

What do the daily loss cap and pause do?

Once the day's realised losses reach 3% of the ₹1 lakh capital setting, no more trades are taken that day. After three stop-outs in a row the system skips the next two sessions. Both limit how much a bad run can cost.

Terms used here

Bollinger Bands Moving average (SMA / EMA)VWAP ATM (at the money)Call and put options Gamma Weekly expiry Stop loss (SL)Target / take profit Before costs / after taxes / after all costs

Before you rely on it

ADAPTED FOR TODAY'S NSE RULESNIFTY weekly (Tuesday) instead of the source's BANKNIFTY weekly. Sized in lots. VWAP needs traded volume, so the whole signal runs on the near-month future, not the cash index. 15:15 is well before the 15:40 close.

WATCH OUTThe source's author says none of the strategies in the repo has a validated edge (live trading disabled). A -15% stop on an ATM weekly is inside normal 5-minute noise; fills at LTP, no costs.

WHERE THE RULES WERE UNCLEAR · OUR CHOICESThe source never defines the squeeze or the bar size: per the spec, 5-minute bars, squeeze = width in the bottom 20 % of the last 100 bars, expansion = width rising two bars in a row. A same-bar EMA cross AND squeeze release almost never coincide, so the cross may have happened up to CROSS_BARS bars earlier (3 = 15 minutes). "Daily loss > 3%" needs a capital base: CAPITAL is ours.

Also known asconfluence gamma scalper

Backtests run on historical NSE data with fills at the last traded price. "Before costs" excludes brokerage, taxes and slippage. Quantsapp is not recommending any strategy; it is just a backtesting utility. Past results are not a promise of future returns.