VIX-sized NIFTY exposure
This is a sizing rule rather than a timing rule. It stays long NIFTY futures all the time and changes only how many lots it holds, based on where India VIX sits within its own history: four lots when volatility is low, scaling down to one lot when VIX is near its highest levels. The aim is to carry more exposure in calm markets and less when fear is high.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
As an always-long position, it simply followed NIFTY. The 12 lots held through a rise of more than 1% made ₹6,04,043, while the 12 held through a fall of more than 1% lost ₹13,65,390. By VIX, lots opened after a VIX close between 11.5 and 14.5 lost ₹12,72,213 over 33 trades, because a middling percentile still means three or four lots, so the position was near full size when declines began. Lots opened after VIX above 14.5 made ₹1,75,357 over 9 trades, as high fear often came near lows. Most trades are expiry-day rolls, so the expiry split mostly reflects rolling.
About this strategy
- Each day, rank the latest India VIX close against all its past closes to get a percentile from 0 to 100.
- Map the percentile to a target size: below 25 means 4 lots, 25 to 75 means 3, 75 to 95 means 2, and 95 or above means 1 lot.
- On the first session of each week, at 09:20, use the previous session's VIX percentile to set the target and buy or sell near-month NIFTY futures one lot at a time to reach it.
- When the target falls, close the most recently added lots first.
- On each futures expiry day, close all lots at 15:15 and buy the same number in the next month, so every roll shows as a separate trade.
- Close everything at the end of the test period.
Why traders use it
Volatility tends to cluster: calm periods stay calm and turbulent periods stay turbulent. Scaling exposure inversely to volatility aims to keep risk steadier over time, taking more market exposure when daily swings are small and less when they are large. India VIX is a public, daily, forward-looking gauge, so it is a natural input. Similar volatility-targeting ideas are widely used by institutional allocators, which makes this a common template for retail futures traders.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 the strategy logged 50 trades, 41 of them monthly rolls, and lost ₹9,93,768 before costs and ₹10,03,578 after ₹20 per order and slippage. Because it is always long, the result follows the market: October 2025 made ₹3,57,808 and April ₹2,23,307, while March lost ₹6,53,821 and September ₹4,95,716. The maximum drawdown before costs was ₹13,51,578. VIX-based sizing cut exposure at times, but with up to 4 lots always long, falling months dominated the year.
What the settings do
Risks
- The position is always long, so it takes the full impact of any market decline.
- Size changes only once a week using yesterday's VIX, so it reacts late to sudden shocks.
- Four lots of NIFTY futures need substantial margin and can lose lakhs in a single bad month.
- Futures are held overnight continuously, with no stop loss.
Who it suits
Traders or allocators who want a long-term long NIFTY position and a rule for varying its size with volatility, with capital for up to four futures lots and the tolerance for very large drawdowns in falling years.
Questions traders ask
What is India VIX percentile?
It is the share of past India VIX closes that were at or below today's close. A percentile of 90 means VIX is higher than on 90% of past days, so the market is pricing in unusually large moves. It puts the raw VIX level into context.
How does VIX-based position sizing work?
The strategy holds more lots when VIX is low relative to its history and fewer when it is high: 4, 3, 2 or 1 lot of NIFTY futures depending on the band. It never goes short or flat by default; it only changes how much it holds.
Is VIX-based sizing of NIFTY futures profitable?
Not in this period. From 1 Oct 2025 to 30 Sep 2026 it lost ₹9,93,768 before costs and ₹10,03,578 after ₹20 per order and bid-ask slippage, because NIFTY fell sharply in several months while the strategy stayed long. Past results do not guarantee future ones.
Why does the strategy show so many trades if it is always invested?
Futures expire monthly, so every lot is closed and reopened at each expiry. Each lot is also its own position, so with up to four lots, rolls alone produce dozens of trades a year. Only 5 trades were closed because the VIX band changed.