Regime credit spreads
This positional NIFTY strategy sells a weekly credit spread whose shape depends on the market regime. A trending market, read from daily ADX and Supertrend, gets a one-sided spread in the trend's direction; a quiet market with balanced open interest gets an iron condor. Nothing is sold when India VIX is near the bottom of its yearly range, on the idea that cheap premium is not worth the risk.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the spreads earned only when the market sat still after entry. When NIFTY stayed within 1% during the hold, the trades made ₹16,019 over 26 with an 88% win rate; a fall of more than 1% cost ₹10,387 over 13, and a rise of more than 1% cost ₹6,313 over 20, as one short side was pushed to its stop. Entries after choppy, wide-range days made ₹14,280 over 24, while entries after quiet, narrow-range sessions lost ₹11,428 over 15. Entries with India VIX above 14.5 made a modest ₹4,053 over 35; the normal 11.5-14.5 band lost ₹4,734 over 24. All figures are before costs.
About this strategy
- At 15:15 each day, if no position is open, rank the previous India VIX close against the past 252 sessions; skip the day if the rank is below 20.
- Read the previous day's ADX(14). Above 20 counts as a trend, and Supertrend(10, 3) gives its direction; otherwise the market is treated as a range.
- Pick the nearest NIFTY weekly expiry with 5 to 9 calendar days left.
- Uptrend: sell a bull put spread. Downtrend: sell a bear call spread. Range: score the option chain's open interest (closeness to max pain, PCR near 1, OI packed near the money) and sell an iron condor only if the score is 60 or more.
- Each short leg is the out-of-the-money strike nearest 0.175 delta that is not itself an OI wall; the protective long is 4 strikes further out.
- Book profit at 50% of the credit collected, or stop out when the loss equals the full credit.
- If neither is hit, close at 15:15 one trading session before expiry.
Why traders use it
Option sellers often lose by holding the wrong structure for the market: a condor in a strong trend, or a one-sided spread in a chop. Letting ADX decide between a directional spread and a condor tries to match the trade to the conditions. The VIX filter avoids selling when premiums are thin, and steering short strikes away from heavy OI strikes keeps them off levels where price tends to stall and whipsaw. Defined-risk spreads also need far less margin than naked shorts.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy took 60 trades and won 70% of them, yet finished flat before costs at ₹5, a profit factor of 1.00 and a maximum drawdown of ₹9,750. That is the classic credit-spread trap: 42 trades hit the 50% target for an average ₹1,015, while the 18 losers, 17 of them stops, averaged a much bigger ₹2,368. May (₹5,391) was the best month; August lost ₹4,319 and November ₹2,692. After ₹20 per order and bid-ask slippage on four-leg condors and two-leg spreads, the result is a ₹44,361 loss. With no edge before costs, the many legs decided the outcome.
What the settings do
Risks
- Positions are held overnight, so gaps can push losses past the 100% stop before an exit is possible.
- Average losses are larger than average wins, so a short run of stops can erase many targets.
- Every condor has eight orders round trip, and costs turned a flat result before costs into a sizeable loss after costs.
- The regime is read from the previous close and can be stale by the time the trade is placed.
- The open-interest score and wall thresholds are judgement calls that have not been validated beyond this period.
Who it suits
Traders interested in rule-based, defined-risk option selling who want the structure chosen by indicators rather than by feel, who can hold positions for several days, and who will study how costs and leg count affect small-credit trades.
Questions traders ask
How does this strategy choose between a bull put spread, bear call spread and iron condor?
It checks the previous day's ADX(14). Above 20, the market is trending and Supertrend(10, 3) decides the direction: up gets a bull put spread, down gets a bear call spread. At or below 20, it scores the option chain's open interest and sells an iron condor only when the score reaches 60.
Is the regime credit spread strategy profitable?
Not in this test. From 1 Oct 2025 to 30 Sep 2026 on NIFTY it finished flat before costs (₹5 over 60 trades) and lost ₹44,361 after ₹20 per order and bid-ask slippage (statutory charges excluded). Stops cost more than targets earned, and multi-leg costs did the rest. Past results do not guarantee future ones.
What is an OI wall and why avoid selling there?
Here an OI wall is a strike whose open interest is at least 2.5 times the median of the five strikes either side. Such strikes attract a lot of positioning, and price often gravitates to or fights around them. The strategy avoids placing its short exactly on one.
Why use India VIX rank as a filter?
VIX rank shows where today's volatility sits within its past year. When it is low, option premiums are cheap, so credit spreads collect little for the risk taken. Below a rank of 20 the strategy stays out.