Pivot break far-OTM sell
This intraday NIFTY strategy uses classic floor pivots to decide which side is safe to sell. It calculates R1 and S1 from yesterday's high, low and close. If NIFTY futures trade above R1, it sells a put about 500 points below the money; if below S1, a call 500 points above. The stop and target are set on the index itself rather than on the option premium, and everything is closed at 15:15.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the trade did best when the pivot break led to a real trend. Trades on 60 trend days made +₹51,965 with a 78% win rate: the index kept moving away from the sold option, so its premium shrank and some trades hit the index target. On 49 choppy days the strategy lost ₹24,008, winning only 37%, because price broke R1 or S1 and then swung back through it to the index stop. Nervous evenings with India VIX above 14.5 made ₹19,958 over 51 trades, as richer premiums decayed faster. Weekly expiry Tuesdays made ₹25,648 over 42 trades.
About this strategy
- From the previous session's high, low and close of the near-month future, compute the pivot PP = (H + L + C) / 3, R1 = 2 × PP − L and S1 = 2 × PP − H. Skip the first session after a futures expiry.
- Every 5 minutes from 09:20 to 14:30, check the futures price; the first time it is above R1, sell the put about 500 points below ATM, and the first time it is below S1, sell the call about 500 points above ATM.
- Use the nearest monthly expiry by default, skip options trading below ₹2, and take only one trade a day.
- Stop out if the index moves 0.4% of the broken level back against the trade.
- Take profit if the index moves 1.2% beyond the broken level in the trade's favour.
- Close the position at 15:15 if neither is hit.
Why traders use it
Pivot levels are watched by many intraday traders, so a break above R1 or below S1 is often read as the day choosing a direction. Instead of chasing that move with futures, this approach sells an option far on the other side, where the break makes it even less likely to be reached. Placing the exits on the index keeps the logic tied to the level that triggered the trade, and far-OTM options mean small, frequent gains in time value.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy traded 193 times and won 62%, making ₹34,070 before costs with a profit factor of 1.43. Typical results were small: wins averaged ₹957 and losses ₹1,173. Most trades (130) ran to 15:15, 40 hit the index stop and 23 the index target. March made ₹20,817 and October ₹10,867, while January lost ₹4,217; the drawdown was a modest ₹10,195. Costs weigh heavily on small premiums: after ₹20 per order and bid-ask slippage, ₹18,632 remained.
What the settings do
Risks
- The option is sold naked; a large reversal or volatility spike can raise its price sharply before the index stop is reached.
- Far-OTM premiums are small, so brokerage and spread take a large share of each gain.
- The index stop and the option's price do not move together exactly, so a loss can be larger or smaller than the index move suggests.
- Selling naked options needs margin far larger than the premium collected.
Who it suits
Intraday option sellers who use pivot levels, have margin for a naked monthly option, and prefer many small, frequent gains with exits tied to the index rather than to premium.
Questions traders ask
How are R1 and S1 pivot levels calculated?
The pivot point is the average of the previous day's high, low and close. R1 is twice the pivot minus the low, and S1 is twice the pivot minus the high. Many traders treat them as the first resistance and support levels for the day.
Is selling options on a pivot breakout profitable on NIFTY?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it made ₹34,070 before costs and ₹18,632 after ₹20 per order and bid-ask slippage, before statutory charges, with a drawdown of ₹10,195. Past results do not guarantee future ones.
Why put the stop on the index and not the option?
The trade's reason is the pivot break. If the index moves back through R1 or S1 by 0.4%, that reason has gone, so the trade is closed regardless of what the option price did. It keeps the decision tied to the signal.
Why sell the monthly rather than the weekly expiry?
500 points is roughly 2% of NIFTY. A weekly option that far out usually has almost no premium left, while the monthly still carries enough to be worth selling. The “Expiry” setting lets you test the weekly instead.