Option chain bias score
This strategy turns a trader's morning checklist into a single number. Every 15 minutes it scores ten signals from the NIFTY option chain and futures: the move against ATR, PCR, max pain, the biggest call and put OI strikes, option writing flow, futures basis and build-up, RSI, MACD and the change in implied volatility. A strong positive score buys a call, a strong negative score buys a put, and a neutral reading later in the morning sells credit spreads outside the OI walls.Adds ten option-chain and price signals into one NIFTY bias score; buys a call or put when it is strongly one-sided, otherwise sells credit spreads beyond the OI walls.
Market viewEither direction (follows the move)
TradesNIFTY weekly options, 2 lots: bought options or credit spreads
RiskLimited to the premium paid
CapitalHedged option-selling margin
SuitsAdvanced
Trades a month20.5
Typical hold5.2 hours
Profitable months5 of 12
Longest losing run13 trades
Made money inTrend days that close near the high or lowDays after India VIX closed below 11.5
Lost money inQuiet sessions with a range under 0.75%Choppy days with a wide rangeNIFTY weekly expiry days
Default settings
Symbol
Ref time
First check
Last check
Check every min
Range time
Bias threshold
PCR hi
PCR lo
VIX avoid
Flow strikes
Flow ratio
Range mode
Range hedge strikes
Target credit %
Exit time
Lots
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1
How it trades
What it trades
Universe
NIFTY Intraday · 1 Oct 25 → 30 Sep 26
Enters
Every 15 min 09:45-13:00: buy on a score of ±3; credit spreads from 11:00 if neutral
Legs
BUY CE · First strike above spot · Nearest weekly · 2 lotsBUY PE · First strike below spot · Nearest weekly · 2 lotsSELL CE · Above the larger of spot + 0.8% and the call OI wall · Nearest weekly · 2 lotsBUY CE · Sold call + 2 strikes · Nearest weekly · 2 lotsSELL PE · Below the smaller of spot - 0.8% and the put OI wall · Nearest weekly · 2 lotsBUY PE · Sold put - 2 strikes · Nearest weekly · 2 lots
Exits
stop Bought option: price minus delta x 0.6 ATR, never below half the price paidtarget Bought option: one lot at delta x 1.2 ATR (or the OI wall), then the other lot's stop moves to costtarget Credit spreads: 50% of the credit collectedtime Everything at 15:15
Re-entry
None - one trade a day
Score
at each check (every CHECK_EVERY_MIN minutes, FIRST_CHECK..LAST_CHECK) on the nearest weekly, add up (spot = the weekly's put-call-parity price, tape = the near-month future): - move since yesterday's close in units of the 14-day ATR: >= 0.6 -> 3, >= 0.3 -> 2, >= 0.15 -> 1, with the move's sign; - put/call OI ratio >= PCR_HI -> +2, <= PCR_LO -> -2; - spot above max pain by 0.1% -> +1, below by 0.1% -> -1; - put wall (max put-OI strike): spot more than 0.2% below it -> -1, else within 0.6% above it -> +1; call wall (max call-OI strike): spot more than 0.2% above it -> +1, else within 0.6% below it -> -1; - option flow around ATM since REF_TIME (as in library 69): put writing beats call writing by FLOW_RATIO -> +2 (mirror -2), long flow agreeing +1 / -1, clamped to +/-3; - futures basis over spot > +0.08% -> +1, < -0.08% -> -1; - futures build-up vs yesterday's close (price, all-months OI): long build-up +2, short build-up -2, short covering +1, long unwinding -1; - RSI(14) of 5-minute futures closes >= 60 -> +1, <= 40 -> -1; MACD(12,26,9) histogram > 0 -> +1, else -1; - ATM IV up >= 3% since REF_TIME while the tape is down > 0.1% -> -1; IV down >= 3% while the tape is up > 0.1% -> +1.
Entry
score >= BIAS_THRESHOLD buys the nearest call strike above spot; <= -BIAS_THRESHOLD buys the nearest put strike below spot. LOTS lots, one trade a day. RANGE (otherwise), from RANGE_TIME, when yesterday's India VIX is below VIX_AVOID and RANGE_MODE is "both": sell the first call strike at or above max(spot x 1.008, call wall) and buy the call RANGE_HEDGE_STRIKES strikes above it; sell the first put strike at or below min(spot x 0.992, put wall) and buy the put RANGE_HEDGE_STRIKES below. A spread is skipped when its credit is over 50% or under 2% of its width. VIX at or above VIX_AVOID: directional trades only.
Stop
option buys - the option at max(price - |delta| x 0.6 x ATR, 0.5 x price).
Target
option buys - the option at price + |delta| x 1.2 x ATR, lifted to the wall's distance when the wall lies 1.2-2.5 ATR away; half the lots are booked there and the stop of the rest moves to cost. Credit spreads - TARGET_CREDIT_PCT % of the credit.
Exit
EXIT_TIME.
2
NIFTY · 2025-10-01 → 2026-09-30 · 246 trades · before costsResults
PRE-BUILT · DEFAULTSNet P&L−₹1,20,900
Win rate34%
Max drawdown−₹1,82,359
Avg per trade−₹491
Profit factor0.84
Worst trade−₹17,316
3
Where it made and lost money
The score worked only on days with a sustained move. In this test 70 trend days earned ₹2,55,081 with a 57% win rate, because a strong one-sided score led to buying the right option and the move carried it to the target. Quiet sessions lost ₹1,85,651 over 108 trades with a 24% win rate, and choppy days lost ₹1,81,666 over 66 trades: on those days a score of 3 came from short-lived momentum, and the bought option was stopped once the move reversed. NIFTY's weekly expiry days lost ₹40,345 over 51 trades with only 18% winners, as fast-decaying options punished any delay. Most days are not trend days, so the year lost money.
Kind of session on the entry day
Quiet session (range under 0.75%)−₹1,85,651108 trades24% won
Trend day (closed near the high or low)+₹2,55,08170 trades57% won
Choppy day (wide range, closed mid-range)−₹1,81,66666 trades26% won
Session direction on the entry day
NIFTY closed above its open−₹1,32,883120 trades35% won
NIFTY closed below its open+₹20,647124 trades33% won
How the entry day opened
Gap up of 0.4% or more−₹2,83438 trades42% won
Flat open−₹1,08,433166 trades31% won
Gap down of 0.4% or more−₹96840 trades38% won
Trend going in
Uptrend (NIFTY above its 20-day average)−₹20,196120 trades36% won
Downtrend (NIFTY below its 20-day average)−₹92,040124 trades32% won
India VIX the evening before
VIX below 11.5 (calm)+₹3,25966 trades33% won
VIX 11.5-14.5 (normal)−₹61,285109 trades32% won
VIX above 14.5 (nervous)−₹54,21069 trades38% won
Day of the week
Monday−₹43,30249 trades39% won
Tuesday−₹49,24047 trades15% won
Wednesday−₹1,51251 trades33% won
Thursday−₹21,55447 trades45% won
Friday+₹13,11649 trades39% won
Expiry day (NIFTY weekly)
Expiry day−₹40,34551 trades18% won
Other days−₹71,891193 trades38% won
4
About this strategy
- From 09:45 to 13:00, every 15 minutes, add up the points from ten signals on the nearest NIFTY weekly expiry and the near-month future. Each signal adds or subtracts one to three points.
- If the score is +3 or more, buy two lots of the nearest call strike above spot; if it is -3 or less, buy the nearest put strike below spot. One trade a day.
- For a bought option, set the stop by the option's delta times 0.6 ATR (never more than half the price) and the target by delta times 1.2 ATR, stretched towards the OI wall if it is a little further.
- Book one lot at the target and move the other lot's stop to cost.
- If no strong score appears and it is 11:00 or later, with India VIX below 20, sell a call spread above the larger of spot plus 0.8% and the call wall, and a put spread below the smaller of spot minus 0.8% and the put wall, each with a hedge two strikes further out.
- Credit spreads are closed at 50% of the credit collected. Everything is closed at 15:15.
Why traders use it
Indian options traders watch many option-chain readings at once: PCR, max pain, where the largest open interest sits, who is writing which side, plus momentum indicators on the chart. Combining them into one score is meant to remove guesswork and show when most signals agree. Switching to selling spreads outside the OI walls on undecided days reflects the common view that heavy open interest acts as support and resistance.
Works best whenStrong trend days, when most signals line up in the same direction and the bought option keeps gaining until the target. In this test trend days were very profitable.
Struggles whenQuiet and choppy sessions, where a strong score reflects a short burst of momentum that reverses into the stop, and weekly expiry days, when bought options decay fast. These lost heavily in this test.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings and two lots, the strategy traded every day, 246 trades, but won only 34%. It lost ₹1,20,900 before costs, a profit factor of 0.84. Winners were large, averaging ₹7,816, but losers averaged ₹4,722 and were twice as common. 99 trades ended on a stop and 144 at 15:15. March made ₹57,926, while December, April and June each lost over ₹40,000, and the drawdown reached ₹1,82,359. After ₹20 per order and bid-ask slippage the loss is ₹1,48,084.
What the settings do
Ref timeThe reference time for measuring option flow and the change in implied volatility during the day.First checkWhen the score is first calculated.Last checkThe last time the score is calculated for a new trade.Check every minHow often the score is recalculated, in minutes.Range timeThe earliest time a neutral score can lead to selling credit spreads, giving a directional signal time to appear first.Bias thresholdHow strong the score must be to buy an option. A higher threshold waits for more signals to agree and trades less often.PCR hiThe put-call OI ratio above which the PCR signal counts as bullish.PCR loThe put-call OI ratio below which the PCR signal counts as bearish.VIX avoidAt or above this India VIX level, credit spreads are not sold and only directional trades are allowed.Flow strikesHow many strikes either side of ATM are counted when measuring option writing and buying flow.Flow ratioHow much one side's flow must exceed the other's before the flow signal scores.Range modeBoth sells call and put credit spreads on neutral days; off trades only directional signals.Range hedge strikesHow many strikes beyond the sold strike the protective leg of each credit spread is bought.Target credit %The share of the credit at which credit spreads are closed for a profit.Exit timeWhen any open position is closed.
Risks
- The signal weights are hand-set and untested, so the score can be confidently wrong.
- Some inputs lean one way by construction; the futures basis is usually positive early in the month, which tilts the score bullish.
- Bought options can lose up to half their price on a stop, and the strategy trades two lots every day.
- Max pain and OI walls on an early-week weekly chain can shift quickly as new positions are written.
Who it suits
Traders who already read the option chain and want to test a systematic, fully rules-based version of it, with capital to absorb a drawdown of over ₹1.8 lakh on two lots.
5
Questions traders ask
What signals go into the bias score?
The move since yesterday measured in ATRs, the put-call OI ratio, max pain, the largest call and put OI strikes, option writing and buying flow near ATM, futures basis, futures OI build-up, RSI and MACD on 5-minute futures bars, and the change in ATM implied volatility.
Is the option chain bias strategy profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it lost ₹1,20,900 before costs and ₹1,48,084 after ₹20 per order and bid-ask slippage, with a maximum drawdown of ₹1,82,359 before costs. Past results do not guarantee future results.
What is an OI wall?
It is the strike with the largest open interest on the call or put side. Many traders treat the biggest call OI strike as resistance and the biggest put OI strike as support, because option writers there have a stake in the index staying away.
What happens on neutral days?
If no strong score appears by 11:00 and India VIX is below 20, the strategy sells a call credit spread above the call wall and a put credit spread below the put wall, aiming to keep half the credit by the afternoon.
6
Before you rely on it
ADAPTED FOR TODAY'S NSE RULESNIFTY weekly (Tuesday) options; sized in lots (the source hard-coded a lot size). OI from the exchange's change events, so max pain, PCR and walls are exact as of each check.
WATCH OUTHand-set weights with no backtest; max pain on an early-week weekly chain is weak; the basis term is almost always +1 early in the futures month (carry), which biases the score bullish.
WHERE THE RULES WERE UNCLEAR · OUR CHOICES- The source scores with an intraday India VIX change; only daily VIX exists, so the term uses the ATM IV change since REF_TIME (the spec's reading). - The flow term follows library 69 (writing worth 2, long flow 1). RSI/MACD are on 5-minute futures bars (the timeframe is not stated); bars and indicators are built from ticks. - "Lifted to the call wall if in range" is read as the futures rule's range (1.2-2.5 ATR). - A RANGE verdict comes at the first check of the day, so RANGE trades wait until RANGE_TIME to let a directional signal appear first; RANGE_MODE "both" sells both spreads (an iron condor), "off" trades directional signals only. Credit spreads have no stop (defined risk). The futures variant of the source is not built - options only.
Also known asstrike and hedge biaschain bias engine
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.