Swaptions - The NextGen

⚡ INTRADAY (15min – 4hr hold)

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🌙 OVERNIGHT / SWING (1+ days)

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📰 News Calendar — High-Impact Events

RBI MPC · FOMC · India CPI/GDP · US NFP/CPI/PCE · ECB/BoE · curated, ±30 min blackout window

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Upcoming (next 24h)

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📈 Signal Track Record (last 7d)

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📅 Daily Paper-Option Signal Trades

Tracked separately from overnight strategy. Review what worked / didn't each day.

📜 Recent Signal Trades (paper option, 1 lot)

Each transition picks ATM CE (BUY) or ATM PE (SELL). Tracks LTP and ₹ P&L.

refreshes every 5s

Entry	Kind	Action	Option	Entry₹	Exit₹	Exit Why	Hold	FINAL P&L	@1h	@4h

NIFTY 50

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O — · H — · L —

NIFTY BANK

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O — · H — · L —

India VIX

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Threshold for entry: <

Open Position

no open trade

Next Event

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Entry Filters

Day-of-week—
VIX gate (<22)—
S&P prior session (>-0.5%)—
Brent crude 4h (<+2%)—

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Tomorrow's NIFTY Open — GIFT NIFTY Tracker

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refreshes every 60s

GIFT NIFTY Live

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Today High / Low

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Est. NIFTY Open

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Est. P&L on open

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Confidence

High

GIFT NIFTY ≈ NIFTY direct read

Open Sweep Detector

TODAY'S OPEN @ 09:15 IST — stop-hunt / liquidity-sweep heuristic

refreshes every 5s

Sweep Score

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0 = bar low at bottom of first-30 range · <0.15 = sweep

Verdict

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Recovery

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First bar O / L: —

First 30m H / L: —

First 30m range: —

This metric only — does NOT alter live trading.

Market Pulse — Chart Intelligence

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refreshes every 30s

Last Price

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Today H / L (range)

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Market Structure

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Nearest Pivot

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Multi-Timeframe Trend

Recent Candle Patterns

1m: —

5m: —

Daily Pivots (from yesterday)

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VWAP — Volume-Weighted Average Price

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Session VWAP

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Price vs VWAP

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Anchored from Day High

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Anchored from Day Low

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📊 Volume Profile / POC

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refreshes every 30s

Point of Control (POC)

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Value Area High (VAH)

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Value Area Low (VAL)

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Current Position

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Volume Distribution by Price Bin

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Total P&L

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Win Rate

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Trades

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Max Drawdown

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Equity Curve (Cumulative P&L)

Strategy: OVERNIGHT_DRIFT (paper trades)

Best: — · Worst: —

Recent Trades

#	Entry	Exit	Entry ₹	Exit ₹	Net P&L	Ret%	Status

How the strategy works

The edge: Indian indices have a documented positive overnight drift. Buying at close and selling at next-day open captures most of the daily return with intraday volatility avoided.

Entry (15:25 IST): BUY 65 qty NIFTY current-month futures (1 lot, ₹1.80L margin) IF: today is Mon/Tue/Wed/Thu, AND prior-day VIX < 22, AND S&P 500 prior session > -0.5%.

Exit (09:15 IST next day): SELL the position at market open. Hold ≈ 17.5 hours.

5y backtest with all 3 filters (after 0.05% costs): +41.6% CAGR · 67.4% WR · Sharpe 5.31 · Max DD -3.3% · Worst night -1.97%. Real out-of-sample expectations: ~25-30% CAGR, Sharpe ~2-3.

Live Option Chain — Open Interest

Source: Angel SmartAPI · Refreshes every 30s · ATM ± 15 strikes

Spot

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PCR (OI)

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Max Pain

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Max CE OI (Resistance)

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Max PE OI (Support)

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OI Build-up Bias

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ARIA Multi-Timeframe OI Verdict

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LB = Long Buildup · SB = Short Buildup

SC = Short Covering · LU = Long Unwinding

IV Rank (30d)

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Last update: —

⚡ OI Velocity & Acceleration

How fast writers are piling into strikes (ATM ± 5). Surges = directional bets just placed.

v5 = ΔOI last 5m · v15 = avg last 15m · v1h = avg last 1h

* = top-10% rapid mover today

Velocity Bull

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PE-SB + CE-SC + CE-LB (ATM±5)

Velocity Bear

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CE-SB + PE-SC + PE-LB (ATM±5)

Verdict

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Top Movers (biggest |ΔOI v5m| today)

Strike	Type	v5m	v15m	Classification

CE OI	CE ΔOI	CE Vol	CE IV	CE LTP	STRIKE	PE LTP	PE IV	PE Vol	PE ΔOI	PE OI

Backtest Configuration

5 years of NIFTY/BN/SENSEX data on tap. Tune parameters, hit Run.

Strategy

Symbol

Date range

Universal filters (advanced)

VIX regime

Day-of-week

Entry time window (HH:MM)

Trades

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Win Rate

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CAGR

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Sharpe

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Max DD

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Profit Factor

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Total Return

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Equity Curve

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Trades (latest 100 shown — Excel has all)

#	Symbol	Side	Entry	Exit	Entry ₹	Exit ₹	Spot %	Premium %	Reason

ARIA Dashboard · API /api/state · /api/trades · /api/equity

Swaptions — The NextGen