Overview

An extremely high-risk naked-options algo that trades volatility-skew “energy,” going long calls or puts only when stress-imbalances and both alpha...

This algorithm is a sophisticated options trading strategy that focuses on volatility skew dynamics and energy-based signals to generate trading opportunities in the Nifty 50 options market. The core innovation lies in its use of "energy" calculations derived from implied volatility skews across different strike prices. The algorithm processes 1-minute interval data and calculates implied volatility (IV) for various options (ATM, ITM, and OTM options at different moneyness levels of 0.25, 0.5, 0.75, and 1.0). It then computes "skew energy" by squaring the differences between OTM and ITM implied volatilities for both calls and puts, creating a measure of market stress or imbalance. The algorithm also incorporates volume momentum indicators by calculating rolling volume ratios and their differences between call and put options, providing additional context for market sentiment. The trading logic is based on two primary alpha signals that combine energy differentials with skew dynamics. The first alpha signal (`alpha`) multiplies the energy difference between call and put options by the difference in their skew patterns, while the second alpha signal (`alpha2`) combines IV delta changes with volume ratio differences. The algorithm generates long signals (buying call options) when the energy differential is negative (indicating put stress), call skew is expanding, and both alpha signals are above their respective thresholds (0.75 and 0.7). Conversely, it generates short signals (buying put options) when the energy differential is positive (indicating call stress), put skew is contracting, and both alpha signals are below their thresholds (0.25 and 0.3). The strategy includes a fixed 1:3 risk-reward ratio with a 30% stop-loss and only executes trades during specific market hours (10:15 AM to 2:15 PM) to avoid high volatility periods, with additional filters to ensure option prices are above 20 rupees for liquidity considerations. It has a fixed RR of 1:3 with SL at 30% and target of 90%. With this algo you could lose upto 20% of your capital in one day, and hence it is an extremely high risk algo,.

Backtested Results

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Backtesting results are based on past data. Historical data does not guarantee future results.

Key Parameters

Drawdown

Risk : Reward

Frequency of trade

Risk

This algo is managed by...

Stratzy

INH000009180 SEBI registered algo provider

Algos in market24

Active since5 Years

Deployed by12.5K users

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Backtest This Algo

Overview

Backtesting results are based on past data. Historical data does not guarantee future results.

Key Parameters

This algo is managed by...

Stratzy

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