Options Strategies (India)

Pick the structure from view × volatility × capital, then size it on maximum loss.

Payoff calculator

# Leg = SIDE,TYPE,STRIKE,PREMIUM[,LOTS]   (TYPE = CE | PE | FUT)
python3 ../fno-options-analysis/scripts/options.py payoff --underlying NIFTY --spot 23050 \
    --leg S,CE,23500,48 --leg B,CE,23700,20 --leg S,PE,22600,52 --leg B,PE,22400,24 \
    --iv 15 --expiry 2026-11-03
python3 ../fno-options-analysis/scripts/options.py payoff --lot-size 250 --spot 1400 \
    --leg B,FUT,1400 --leg B,PE,1360,22                 # stock protective put (lot size from contract file)

Output: net credit or debit, max profit and loss (detects unlimited), expiry breakevens, lognormal probability of profit, and position Greeks. Margin is not modelled. Use the broker's basket margin calculator or the MCP margin tool. Hedged structures get large SPAN benefits.

Selection matrix

View ↓ / IV →	Low IV (VIX < 13)	Normal	High IV (VIX > 18)
Strongly bullish	Long call, bull call spread	Bull call spread	Bull put spread (credit)
Mildly bullish	Bull call spread	Bull put spread	Bull put spread, covered call
Neutral / range	Calendar (long vega), butterfly	Iron condor, iron fly	Iron condor (wider wings), short strangle hedged
Mildly bearish	Bear put spread	Bear call spread	Bear call spread
Strongly bearish	Long put, bear put spread	Bear put spread	Bear call spread
Big move, unsure of direction	Long straddle/strangle (before events)	Long strangle	Avoid buying (IV crush)
Holding stock, want protection	Protective put / collar	Collar	Collar (sell call to fund put)

Indian expiry dynamics

• Weekly NIFTY expires Tuesday; SENSEX Thursday. Theta is steepest in the last 2–3 sessions, and gamma on expiry day makes ATM premiums swing 50–200% intraday.
• Expiry-day trading ("0DTE") has the worst risk profile for beginners. Small moves wipe out sellers, and buyers' premiums decay to zero within hours. The extra 2% ELM on short options raises margin that day.
• Holiday-shifted expiries (a Tuesday holiday moves expiry to Monday) shorten the week. Check options.py expiries.
• Monthly stock options are physically settled. Never hold ITM stock options into expiry without the cash or shares to settle them.

Construction rules

1. Defined risk by default. Every short option gets a long hedge (a spread or condor wings) unless the user has substantial capital and explicitly wants naked exposure. Hedges also cut margin by 60–80%.
2. Strikes from data: place short strikes beyond the 1σ expected move (options.py move) and beyond chart and OI levels. Place wings 100–300 points away on NIFTY (strike interval 50) and 300–1,000 on BANKNIFTY (interval 100).
3. Liquidity: use strikes with tight bid-ask spreads and high OI. Far-OTM weekly strikes are cheap for a reason.
4. Size on max loss: total max loss ≤ 1–2% of capital (position-sizing). One NIFTY iron condor with 200-point wings risks up to roughly ₹13,000 minus the credit, so a ₹5 lakh account should run at most one.
5. Costs: four legs means four orders each way, so ₹160 brokerage round trip plus STT on sells (trading-costs). That matters for low-credit condors.

Management

Situation	Action
Credit trade reaches 50–70% of max profit	Close it. The remaining reward isn't worth gamma risk
Short strike tested (price within ~0.5σ)	Roll the untested side closer, roll out in time, or close
Loss reaches 1.5–2× the credit received	Exit. Don't "adjust" a losing trade into a bigger one
Debit trade has lost 50% with no move	Exit. Theta keeps working against you
Event tomorrow (Budget, RBI, results)	Reduce or close shorts, or hedge with wings. Gaps skip adjustments

Event playbook

• Union Budget (1 Feb), RBI policy (6 meetings a year), state or general elections, US Fed: IV rises into the event and collapses after it. Long straddles bought just before often lose even on a decent move. Credit spreads sold after the event capture the crush.
• Stock results: stock option IV rises into results. Prefer defined-risk spreads, and remember the stock can move 5–15%.

Disclosure

Remind users that most individual F&O traders lose money (SEBI: about 91% in FY25, about 88% in FY26), and that strategies with high win rates often have large tail losses.

Output

Strategy: [name] on [underlying] exp [date, weekday]  (view: .., IV regime: VIX ..)
Legs: SELL 1 × 23500 CE @48 | BUY 1 × 23700 CE @20 | ...
Net credit ₹.. | Max profit ₹.. | Max loss ₹.. | Breakevens .. / ..
POP ≈ ..% | Greeks Δ .. Θ ../day Vega ..
Margin: check basket calculator (hedged) | Costs ≈ ₹..
Plan: take profit at ..% | exit if .. | event risk: ..