Opening strike PCR at VWAP
An intraday option-buying system that combines option-chain positioning with price action. It tracks how put and call open interest change around the day's opening strike, and when that ratio leans clearly one way, waits for a 5-minute NIFTY futures candle at VWAP that agrees. It then buys the ATM call or put with a 20-point stop that steps up as the trade gains.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test, trend days that closed near the high or low made ₹84,955 over 68 trades with a 56% win rate, because a move away from VWAP lets the stop step up 20 points at a time and lock in gains. Quiet sessions with a range under 0.75% lost ₹90,784 over 125 trades and won only 23%: the option premium wobbles by 20 points without the index going anywhere, so the initial stop is hit again and again. Choppy days were close to flat at ₹4,116 over 73. By volatility, calm evenings with VIX below 11.5 made ₹20,006 over 74 trades, while the middle band lost ₹30,819 over 119.
About this strategy
- At the open, fix the ATM strike of the nearest expiry not expiring today as the opening strike.
- Through the day, measure the change in put OI divided by the change in call OI since the open, across the opening strike and three strikes either side.
- Build 5-minute candles of the NIFTY future with its session VWAP and ATR; a candle is at VWAP if it closes within half an ATR of VWAP or its range touches that band.
- From 09:30 to 14:30, buy the ATM call when the change PCR is above 1.2 and a green candle at VWAP closes above it; buy the ATM put when PCR is below 0.8 and a red candle at VWAP closes below it.
- Set a stop 20 option points below the entry; at +40 points it moves to +20, at +60 to +40, and so on.
- Hold one position at a time; after an exit, only the opposite signal can re-enter by default.
- Close anything open at 15:15.
Why traders use it
Fresh put writing near the money is often read as traders defending support, and fresh call writing as resistance. Measuring only today's change around the opening strike keeps the reading focused on new positions rather than old ones. Requiring the price to come back to VWAP before entering avoids chasing extended moves, and the stepped stop locks in gains in fixed steps while giving winners room to run.
The year in plain words
With default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, the system made 269 trades and won 34%, finishing ₹5,614 down before costs with a profit factor of 0.98. The stop design did its job on size: wins averaged ₹2,456 against losses of ₹1,316, and no loss exceeded ₹1,500. But 170 trades hit the initial 20-point stop, 69 exited on the stepped stop and 30 at 15:15. October and February were strong, while June to September all lost. After ₹20 per order and bid-ask slippage the loss widened to ₹34,049.
What the settings do
Risks
- A 20-point stop on an ATM option is tight on volatile days and is hit often by noise.
- The change PCR is unstable early in the day when call OI change is still small.
- Option buying pays time decay on every trade that does not move quickly.
- With a one-in-three win rate, losing streaks are long and the drawdown reached ₹53,557 before costs.
Who it suits
Intraday option buyers who already watch OI and VWAP and want a rule-based way to combine them. Risk per trade is limited to the premium and the stop, but it needs active, automated execution and tolerance for many small losses.
Questions traders ask
What is opening strike PCR?
It is a put-call ratio worked out only from the change in open interest since the open, around the strike that was at the money when the market opened. A reading above 1 means more new puts than calls were written near that strike today.
Is the PCR VWAP option buying strategy profitable?
Not in this backtest. On NIFTY from 1 Oct 2025 to 30 Sep 2026 it lost ₹5,614 before costs and ₹34,049 after ₹20 per order and bid-ask slippage, with statutory charges extra. Past results do not guarantee future ones.
How does the stepped stop loss work?
The stop starts 20 points below the entry price. Once the option is 40 points up, the stop moves to 20 points in profit; at 60 points up it moves to 40, and so on in 20-point steps. It never moves down.
Which expiry does it buy?
The nearest NIFTY expiry that is not expiring that day. On a Tuesday expiry, it buys the following week's options to avoid the extreme decay of a contract expiring within hours.