Strategy description

Description (Last Week Entry Only)

This is a directional, positional options strategy on the Bank Nifty (BNF) index, designed to capture short-term directional momentum during the last week of the monthly expiry cycle.

The strategy is intentionally deployed only in the final phase of the monthly series, when option premiums become more responsive to directional moves and adjustments can be executed more effectively.

Strategy Overview

The system dynamically identifies and aligns with the prevailing market direction. It maintains option-writing positions with close hedges, creating controlled directional exposure while retaining flexibility to adapt as market conditions evolve.

Positions are generally carried until monthly expiry, with no fixed stop loss or predefined target. Risk and profit management are handled through adaptive hedging and systematic banking-based adjustment logic rather than rigid exits.

Key Highlights

• Instrument: Bank Nifty Options (current monthly expiry)

• Strategy Type: Directional / Positional

• Entry Window: Only during the last week of the monthly expiry cycle

• Exit: Monthly expiry day

• Position Structure: Option writing with close hedging

• Risk Management: Dynamic hedge and banking-based adjustments (no fixed SL / target)

• Objective: Capture late-stage monthly directional momentum with controlled risk

Mechanism of Banking-Based Adjustments

When the market moves favorably, the strategy books partial profits from the profitable side. These banked gains are then utilized to adjust, hedge, or defend the adverse side if market direction changes.

This approach:

• Helps smoothen the equity curve

• Controls drawdowns during adverse moves

• Allows positions to be sustained till expiry without additional capital infusion

Risk in Case of Opposite Gap-Up or Gap-Down

As the strategy does not use a fixed stop loss, it remains exposed to overnight or opening gaps against the active directional bias. Such gaps, especially during the expiry week, can lead to sharp premium expansion on the adverse side, resulting in temporary drawdowns.

While the strategy is structured to recover losses through subsequent adjustments and hedging, large one-directional gap moves can still cause significant interim drawdowns.

? Therefore, adequate capital buffer, disciplined execution, and strong risk tolerance are essential

Share Code

eeb429aa-f756-41bb-81a1-3158ff489ed2