Opening Range Option Selling Strategy
Step 1: Mark the Previous Day's Range
Before the market opens:
Mark the Previous Day High (PDH).
Mark the Previous Day Low (PDL).
These two levels create the reference range for today's trade.
Step 2: Wait for the First 15-Minute Candle
Market opens at 9:15 AM.
Wait until 9:30 AM.
Observe only the closing price of the first 15-minute candle.
Ignore temporary breakouts during the candle.
Step 3: Determine the Market Condition
Condition A – Inside Previous Day Range
If the first 15-minute candle closes between the Previous Day High and Previous Day Low:
Market is considered Range Bound.
Use a Non-Directional Strategy.
Condition B – Above Previous Day High
If the first 15-minute candle closes above the Previous Day High:
Market is considered Bullish / Trending Up.
Use a Directional Strategy.
Condition C – Below Previous Day Low
If the first 15-minute candle closes below the Previous Day Low:
Market is considered Bearish / Trending Down.
Use a Directional Strategy.
Step 4: Entry Rules
Scenario 1 – Range Bound Market
Condition:
First 15-minute candle closes inside the Previous Day Range.
Trade:
Sell one ATM Call Option.
Sell one ATM Put Option.
This creates an ATM Short Straddle.
Entry Time:
9:31 AM
Scenario 2 – Bullish Market
Condition:
First 15-minute candle closes above the Previous Day High.
Trade:
Sell only one ATM Put Option.
Entry Time:
9:31 AM
Scenario 3 – Bearish Market
Condition:
First 15-minute candle closes below the Previous Day Low.
Trade:
Sell only one ATM Call Option.
Entry Time:
9:31 AM
Step 5: Stop Loss Rules
For ATM Short Straddle
Use:
Stop Loss = 1.75 × Premium Sold
Example:
Premium Sold = ₹100
Stop Loss =
₹100 × 1.75
= ₹175
For Directional Option Selling
Use:
Stop Loss = 2 × Premium Sold
Example:
Premium Sold = ₹100
Stop Loss =
₹100 × 2
= ₹200
Step 6: Position Management
After entering the trade:
No additional entries.
No averaging.
No hedging.
No adjustments.
Allow the trade to run with the predefined stop loss.
Step 7: Exit Rules
Exit Time:
3:15 PM
Exit all open positions regardless of:
Profit
Loss
Remaining premium
Do not carry positions overnight.
Step 8: Optional Strike Selection
The strategy allows different strike selections based on risk preference.
Option 1 (Higher Return)
Sell ATM Options.
Characteristics:
Higher premium
Higher risk
Higher potential profit
Option 2 (More Consistent)
Sell lower premium options such as:
₹20 Premium
₹25 Premium
Characteristics:
Lower risk
More consistent returns
Lower profit
Option 3
Choose strikes using Delta.
Suggested Delta:
Around 0.20–0.25 Delta (presented by the speaker as a possible modification rather than a core rule).
Step 9: Daily Workflow
Before Market
Mark Previous Day High.
Mark Previous Day Low.
9:15–9:30 AM
Wait for the first 15-minute candle.
9:30 AM
Identify market condition.
9:31 AM
Execute the appropriate trade.
During the Day
Keep the stop loss active.
Do not adjust the trade.
3:15 PM
Exit all positions.
Step 10: Strategy Logic
| Market Condition | Trade |
|---|---|
| Close inside Previous Day Range | Sell ATM Short Straddle (Call + Put) |
| Close above Previous Day High | Sell ATM Put |
| Close below Previous Day Low | Sell ATM Call |
Step 11: Strategy Characteristics
Uses the Previous Day High and Low to determine market bias.
Trades only once per day.
Requires approximately 15 minutes of market observation before entry.
Employs fixed, rule-based stop losses.
Exits all positions by 3:15 PM.
No overnight exposure.
No discretionary adjustments after entry.
Step 12: Possible Enhancements
The speaker suggests that traders may backtest and replace the Previous Day High/Low filter with other trend filters such as:
EMA
SuperTrend
Other trend indicators
These are optional modifications and are not part of the core strategy.
Reviewed by Admin team
on
August 06, 2026
Rating:
