Regime-scored iron fly
This intraday iron fly only trades on days that look calm. A pre-market checklist built from yesterday's India VIX, range and trend, and a second checklist built from the first five-minute candle, must both score well before the fly is sold at around 09:21. The fly sells the ATM straddle and buys protective wings, so the maximum loss is capped. Size depends on how well the day scores and on a capital-based risk budget.Sells an intraday NIFTY iron fly only when a pre-market VIX and range checklist and a 09:21 opening-candle checklist both rate the day as calm.
Market viewNeutral / range-bound
TradesNIFTY weekly options, 4-leg iron fly
RiskDefined (max loss known at entry)
CapitalHedged option-selling margin
SuitsAdvanced
Trades a month4.2
Typical hold5.9 hours
Profitable months7 of 12
Longest losing run4 trades
Made money inQuiet sessions with a range under 0.75%Days after India VIX closed above 14.5
Lost money inTrend days that close near the high or lowDays after India VIX closed below 11.5
Default settings
Symbol
Entry time
Recheck time
Wing mult
Capital
Risk % full
Daily stop %
SL % of credit
Target % of max
VIX min
VIX max
VIX chg max %
VIX hard max
VIX chg hard %
Range ATR max
Extreme %
EMA band %
Max gap %
Hard gap %
Or ATR min
Or ATR max
Hard or ATR
Body max
Hard body
VWAP band %
Exit time
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.
1
How it trades
What it trades
Universe
NIFTY Intraday · 1 Oct 25 → 30 Sep 26
Enters
09:21 (or 09:30 on a re-check) when both calm-day scores pass; lots sized to 0.4% of ₹25 lakh
Legs
SELL CE · ATM (about 0.5 delta) · Nearest weekly · 1 lotSELL PE · ATM (about 0.5 delta) · Nearest weekly · 1 lotBUY CE · ATM + 0.875 x straddle premium · Nearest weekly · 1 lotBUY PE · ATM - 0.875 x straddle premium · Nearest weekly · 1 lot
Exits
stop Loss of 50% of the net credit, or 0.5% of capital if smallertarget Profit of 50% of the net credittime Everything at 15:15
Re-entry
None - one fly a day at most
Gate 1
before the open, from the previous session (6 points): not an expiry day; India VIX close in [VIX_MIN, VIX_MAX]; VIX 1-day change < VIX_CHG_MAX_PCT %; previous day's range / ATR(20) <= RANGE_ATR_MAX or its close not in the top / bottom EXTREME_PCT % of that range; previous close within EMA_BAND_PCT % of the 20-day EMA; (expected gap - see below). >= 5 points GREEN, 4 AMBER, <= 3 RED (no trade). Hard RED: expiry day, VIX > VIX_HARD_MAX, VIX 1-day change > VIX_CHG_HARD_PCT %.
Gate 2
at ENTRY_TIME, after the first 5-minute candle (8 points): |open gap| < MAX_GAP_PCT %; first 5-min range / ATR(20) in [OR_ATR_MIN, OR_ATR_MAX]; candle body / range < BODY_MAX; candle close in the middle 25-75 % of its range; |price - session VWAP| < VWAP_BAND_PCT %; price inside the previous day's range; (NIFTY-BANKNIFTY co-move; NIFTY-50 breadth - see below). 7-8 -> full size, 6 -> half, 4-5 -> score again at RECHECK_TIME (enter only on >= 6 then), <= 3 -> skip. AMBER caps the size at half. Hard skip: |gap| > HARD_GAP_PCT %, range / ATR > HARD_OR_ATR, body / range > HARD_BODY, price outside the previous day's range.
Entry
sell the ATM call and put of the nearest weekly, buy a call and a put WING_MULT x the ATM straddle premium away (nearest listed strikes). Full size = the lots whose stop loss fits RISK_PCT_FULL % of CAPITAL (at least 1); half = half of that (at least 1).
Stop
the fly loses SL_PCT_OF_CREDIT % of its net credit, or DAILY_STOP_PCT % of CAPITAL if that is smaller.
Target
the fly makes TARGET_PCT_OF_MAX % of its maximum profit (the net credit).
Exit
everything at EXIT_TIME. One trade a day at most.
2
NIFTY · 2025-10-01 → 2026-09-30 · 50 trades · before costsResults
PRE-BUILT · DEFAULTSNet P&L−₹10,148
Win rate58%
Max drawdown−₹17,418
Avg per trade−₹203
Profit factor0.57
Worst trade−₹4,927
3
Where it made and lost money
The filters are meant to pick quiet days, and when they did, the fly earned: 31 quiet sessions made ₹6,720 with a 74% win rate. The trouble was the 10 days the filters let through that turned into trend days, which lost ₹16,972 with only one winner, since a steady move away from the ATM strike grows the loss all afternoon and no trade reached its stop or target before 15:15. Days after India VIX closed below 11.5 lost ₹11,124 over 22 trades, because thin premiums left little credit to cover any move. The handful of trend days outweighed the many small wins.
Kind of session on the entry day
Quiet session (range under 0.75%)+₹6,72031 trades74% won
Trend day (closed near the high or low)−₹16,97210 trades10% won
Choppy day (wide range, closed mid-range)+₹1039 trades56% won
India VIX the evening before
VIX below 11.5 (calm)−₹11,12422 trades55% won
VIX 11.5-14.5 (normal)−₹64317 trades59% won
VIX above 14.5 (nervous)+₹1,61811 trades64% won
Day of the week
Monday−₹8,9288 trades50% won
Wednesday+₹11612 trades75% won
Thursday−₹1,00113 trades46% won
Friday+₹2,68516 trades62% won
Trend going in
Uptrend (NIFTY above its 20-day average)−₹1,70023 trades61% won
Downtrend (NIFTY below its 20-day average)−₹8,44827 trades56% won
Session direction on the entry day
NIFTY closed above its open−₹2,07429 trades55% won
NIFTY closed below its open−₹8,07421 trades62% won
How the entry day opened
Gap up of 0.4% or more−₹1013 trades67% won
Flat open−₹9,84244 trades59% won
Gap down of 0.4% or more−₹2053 trades33% won
4
About this strategy
- Before the open, score the day from the previous session: India VIX between 11 and 18 and not jumping, a normal-sized previous range or a close away from its extremes, and a close near the 20-day EMA. Weekly expiry days and big VIX spikes are automatically red.
- Five or six points is green, four is amber, three or fewer means no trade.
- At 09:21, score the first 5-minute candle: a small opening gap, a modest candle range relative to ATR, a small body, a close mid-range, price near VWAP and inside yesterday's range. Large gaps or candles are an automatic skip.
- A high second score trades full size; a middling score trades half size; a borderline score is re-checked at 09:30. An amber first score caps the size at half.
- Sell the ATM call and put of the nearest NIFTY weekly expiry and buy a call and put about 0.875 times the straddle premium away as wings.
- Size the trade so the stop risks 0.4% of ₹25 lakh capital at full size, with a minimum of one lot.
- Exit at a loss of 50% of the credit (or 0.5% of capital, whichever is smaller), at 50% of the maximum profit, or at 15:15.
Why traders use it
Short-premium trades make money on quiet days and lose on trending ones, so a go or no-go filter that screens out risky days is an appealing idea. The checklists use readings most option sellers already glance at each morning: VIX, the gap, the opening candle and VWAP. The iron fly structure caps the worst-case loss, which suits traders who want defined risk while still collecting at-the-money premium.
Works best whenQuiet sessions that stay inside a narrow range after a calm-looking open, so the ATM premium decays faster than the wings. In this test quiet sessions were the profitable group.
Struggles whenDays that look calm at 09:21 but then trend steadily one way, and low-VIX days when the credit is too thin to absorb even a modest move.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026, the two checklists let through 50 trading days. The fly won 58% of them yet lost ₹10,148 before costs, a profit factor of 0.57, because the average loss (₹1,130) was more than twice the average win (₹469). Every trade ended at the 15:15 time exit; neither the stop nor the target was ever reached. October and December each lost about ₹5,000, while April to September were small gains. After ₹20 per order on four legs and bid-ask slippage, the loss doubles to ₹20,806.
What the settings do
Entry timeWhen the opening candle is scored and the fly is sold if the score is high enough.Recheck timeWhen a borderline day is scored again; it trades only if the second look scores well.Wing multHow far the protective wings sit from ATM, as a multiple of the straddle premium. Closer wings cost more and cap risk more tightly; further wings keep more credit.CapitalThe account size used to size the trade and set the daily loss cap.Risk % fullThe share of capital a full-size trade may lose at its stop. Raising it sells more lots.Daily stop %The most the trade may lose in a day as a share of capital, if that is tighter than the credit-based stop.SL % of creditThe stop, as a percentage of the net credit received.Target % of maxThe profit target, as a percentage of the maximum possible profit, which is the net credit.VIX minThe lowest India VIX close that earns a pre-market point. Very low VIX means thin premiums.VIX maxThe highest India VIX close that earns a pre-market point.VIX chg max %The largest one-day rise in VIX that still earns a point.VIX hard maxA VIX close above this rules the day out entirely.VIX chg hard %A one-day VIX jump above this rules the day out entirely.Range ATR maxThe largest previous-day range, in ATRs, that counts as normal.Extreme %How close to the day's high or low a close must be to count as closing at an extreme.EMA band %How close, in percent, yesterday's close must be to the 20-day EMA to earn a point.Max gap %The largest opening gap that still earns a point at entry.Hard gap %An opening gap larger than this skips the day.Or ATR minThe smallest first-candle range, in ATRs, that earns a point. Very small ranges can precede a breakout.Or ATR maxThe largest first-candle range, in ATRs, that earns a point.Hard or ATRA first-candle range larger than this, in ATRs, skips the day.Body maxThe largest candle body as a share of its range that earns a point. Small bodies suggest indecision.Hard bodyA first candle with a body larger than this share of its range skips the day.VWAP band %How close, in percent, price must be to the session VWAP to earn a point.Exit timeWhen the fly is closed if neither stop nor target has been reached.
Risks
- The filter uses many hand-picked thresholds, so tuning them to past data can easily overfit.
- Two of the original checks (an index co-movement check and intraday breadth) cannot be tested here and are counted as passed, which may let through days the full rules would block.
- Four legs mean four sets of costs and spreads on every trade, which halved the result again.
- There is no event calendar, so policy, budget or election days are not excluded.
Who it suits
Systematic option sellers who want defined-risk intraday trades and like a rules-based morning checklist, and who are willing to trade only about one day in five.
5
Questions traders ask
What is an iron fly?
An iron fly sells an at-the-money call and put, like a short straddle, and buys an out-of-the-money call and put further away as protection. The maximum profit is the net credit and the maximum loss is capped by the wings.
How does the regime score decide whether to trade?
A pre-market score uses yesterday's VIX, range and position against the 20-day EMA. A second score at 09:21 uses the opening gap, first candle and VWAP. Both must be high enough, and some readings, such as a big gap or expiry day, rule the day out outright.
Is the regime-scored iron fly profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it lost ₹10,148 before costs and ₹20,806 after ₹20 per order and bid-ask slippage, over 50 trades. It won more often than it lost, but losses were larger. Past results do not guarantee future ones.
Why does it never trade on expiry day?
The pre-market checklist marks the weekly expiry day, Tuesday for NIFTY, as automatically red. Zero-days-to-expiry options can swing violently in the last hours, which conflicts with the calm-day idea behind the trade.
6
Before you rely on it
ADAPTED FOR TODAY'S NSE RULESNIFTY nearest weekly, Tuesday expiry (a hard RED day - so the fly never trades 0-DTE). Sized in lots. - The source's expected gap uses GIFT Nifty, not in our history: that point is dropped and the actual open gap (stage 2) carries the gap test, as the spec says. - NIFTY-BANKNIFTY co-move needs a second symbol in the same backtest, and intraday NIFTY-50 breadth needs the 50 stocks' prices at 09:20 (bt.breadth is end-of-day only): neither exists, so those two stage-2 points and the "VIX +10% intraday" hard skip are not tested. - An untestable point counts as PASSED, which is the same as grading by points missed: stage 1 GREEN = at most 1 of the 5 testable points missed; stage 2 full size = at most 1 of 6 missed. This is optimistic on exactly the days a co-move or breadth check would have vetoed. - No RBI / Budget / election calendar is built in, so event days are not excluded. Gap, ATR, EMA and the previous day's range use the rolled near-month future (its unadjusted roll shows up as a gap on the session after an expiry).
WATCH OUTNo backtest in the source; many hand-picked thresholds - tune them and the result is in-sample.
WHERE THE RULES WERE UNCLEAR · OUR CHOICESThe source's thresholds are "starting points" with no per-trade stop or target: per the spec, stop 50% of the credit, target 50% of the maximum profit, exit 15:15, wings 0.875 x the straddle premium.
Also known asiron fly regime checkgo/no-go iron flyhedged straddle with filter
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.