India's most accurate options backtesting engine — powered by real NSE F&O data, not Black-Scholes estimates. 7.78 million option rows. 9.5 years. Rs.30L capital.
Key metrics across all strategy types · VIX-adjusted lot sizing · Hold to expiry (Model A)
Entry: 1st Monday open · Exit: Last Thursday (until Sep-2025) or Tuesday (from Oct-2025) · 111 months · Click any row for details
| # | Strategy | Type | Win Rate | Total P&L | Avg/Month | Best | Worst | Max DD | Sharpe |
|---|
Entry: Monday 9:20 AM · Exit: Thursday/Tuesday settlement · 389 weekly expiries · VIX-adjusted sizing
Weekly NIFTY option selling is structurally unprofitable. NIFTY's weekly StdDev is 1.96% but break-even range for 1% spreads is only ±0.5%. Every week's premium is consumed by larger market moves. Use monthly strategies — they earn 30× more per rupee deployed.
| # | Strategy | Type | Win% | Total P&L | Avg/Week | Max DD | Sharpe |
|---|
Buy far-month call · Sell near-month call · Same strike · Break-even at -4% from spot · 103 months
Calendar spread needs NIFTY within ±1.4% of strike at expiry. Only 33% of months qualify. Average net debit Rs.228 pts but far-call exit value averages Rs.80 pts → Rs.148 avg loss per month.
| Variant | Win% | Total P&L | Avg/Month | Max DD | Sharpe |
|---|
Average P&L per month in each India VIX zone for top strategies — based on actual NSE VIX daily close
| VIX Zone | Months | % Time | PRS -4/(2×-6)% | PRS -3/(2×-5)% | IC ±4/6% | IC ±3/6% | BPS -4/-6% | BCS +4/+6% | Best Strategy |
|---|---|---|---|---|---|---|---|---|---|
| <12 Low | 18 | 16% | +₹88K | +₹153K | +₹169K | +₹137K | +₹72K | +₹95K | IC ±4/6% |
| 12-16 Normal ★ | 49 | 43% | +₹244K | +₹67K | +₹198K | +₹143K | +₹63K | +₹96K | PRS -4/(2×-6)% |
| 16-20 Elevated | 27 | 24% | -₹18K | -₹16K | -₹199K | +₹37K | +₹25K | +₹91K | BCS +4/+6% |
| 20-25 HIGH ★★ | 10 | 8% | +₹369K | +₹366K | +₹12K | +₹115K | +₹223K | +₹187K | PRS -4/(2×-6)% |
| >25 Extreme | 10 | 8% | +₹757K | +₹1.02M | +₹1.25M | +₹95K | +₹605K | — | PRS -3/(2×-5)% |
What the real data reveals — no assumptions, no theory, pure numbers from 7.78M option rows
4 of top 5 strategies are Put Ratio Spreads. Sell 1 OTM put + buy 2 deeper puts. Earns from crashes AND flat months. Rs.2.39Cr over 9.5 years on Rs.30L capital.
PRS wins only 35% of months. But average win is Rs.8.3L while average loss is Rs.1.1L. Expected value = +Rs.2.23L/month. The math works despite 65% losing months.
VIX 20-25 is the BEST zone — not a risk zone. Fat premiums + crash protection = Rs.3.65L avg/month. Most traders reduce exposure at high VIX. That's the wrong move for ratio spreads.
BANKNIFTY crashed 10.2% in Sep-2018 when VIX was only 13.4. IL&FS crisis was a banking-specific shock invisible to VIX. Monthly BANKNIFTY earns Rs.12K/mo vs Rs.2.23L for NIFTY.
T-7 exit (close 7 days before expiry) beats holding to expiry for ZERO of 11 strategies. PRS at expiry = Rs.2.39Cr. Same strategy at T-7 = Rs.29.7L. COVID month alone = Rs.11.9Cr gap.
All 92 weekly strategies lost money over 389 weeks. NIFTY weekly StdDev of 1.96% is too large for 1% spread premiums. Monthly earns 30× more for same capital.
Black-Scholes with VIX as IV overestimates real premiums by 30-60%. Only BPS -5/-8% survives at real data (+Rs.21L). BS model predicted Rs.60L.
IC ±2/3% (2% wing) lost Rs.27.5Cr over 9.5 years — worst strategy tested. Narrow wings = short strikes too close to money = full loss in most months that move >2%.
Complete transparency — every assumption documented
7,782,453 option rows from NSE official archives. Every strike, every expiry, CE+PE OHLC+Volume+OI. 2,350 daily files from Jan 2017 to Jul 2026. 100% free.
2,356 daily VIX closes from NSE official data. Range: 9.15 to 83.61 (Mar-2020 COVID). Used for lot sizing and IV calibration.
2,359 daily OHLC records from NSE. Range 7,610 to 26,329. Used for strike calculation, P&L, and intraday range analysis.
Entry: 1st trading day of month at market open. Exit: Monthly expiry official close. Settlement: max(0, K-S) for puts. Rs.4/leg slippage. VIX-adjusted lot sizing.
Uses EOD close prices (not 9:20 AM intraday). Slippage fixed at Rs.4/leg — actual varies. No dividends or corporate actions. Past performance ≠ future results.
All backtest code written in Python. NSE Bhavcopy downloader script available. Fully reproducible — download the data and run the scripts yourself.