Overview

A naked-options “Skew Hunter” algo with a TSL that targets extreme IV and flow skew, taking directional trades only when...

This is a sophisticated options trading algorithm called "Skew Hunter" that focuses on exploiting volatility skew in the NIFTY options market. The algorithm monitors both ATM (At-The-Money) and OTM (Out-of-The-Money) options across different strike prices, calculating various metrics including implied volatility (IV), volume ratios, and open interest changes. It uses two main alpha signals: the first alpha combines volume ratios and open interest changes for OTM calls and ITM puts, while the second alpha measures the IV skew between OTM and ITM options for both calls and puts. The trading logic is triggered when both alpha signals align in extreme regions (alpha > 0.75 and alpha2 > 0.8 for long calls, or alpha < 0.25 and alpha2 < 0.2 for long puts). The algorithm only trades during specific market hours (10:15 AM to 2:15 PM) and implements strict risk management rules: it won't enter trades if the option price is below ₹20, sets a 40% stop-loss from the entry price, and automatically squares off positions at the end of the trading day. The strategy is implemented in two versions: a regular version and a trailing stop-loss (TSL) version, both of which are managed through a database system that prevents multiple active trades from running simultaneously. In this TSL version, the original stoploss of -40% is trailed everytime a target of 40% is hit. So when the option price increases by 40%, the new SL is set at 0%, when it goes to 80% the new SL is set at +40%, and so on.

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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SkewHunter TSL

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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