Methodology and what we found

Data

Stocks and Nifty/Bank Nifty: NSE end-of-day F&O bhavcopy. Sensex: BSE derivatives bhavcopy. MCX: option-chain snapshots via a broker API. Reports are end-of-day, not live intraday.

Only strikes that actually traded are used for IV. Illiquid contracts are filtered out so thin trading does not create fake signals.

What the numbers mean

Implied volatility (IV) is solved from option prices (Black-76). Expected move is the range implied by the ATM straddle. IV rank compares today's IV with its own history. Max pain, put-call ratio and OI walls come from open interest. Gamma flip is the estimated level where dealer gamma changes sign.

STRONG / WATCH mean unusual options pricing with no announced event. EVENT means results, a board meeting or an index rebalance is already known. None of these is a buy or sell call.

What our backtests found (Jan 2024 to Sep 2026)

No edge in predicting direction: after a signal, the stock rose about half the time.

Measured against each stock's own options-implied move, the chance of a move beyond 1.5x the expected move was only about 1.2x the normal rate for STRONG, and this was not statistically established (adjusted p about 0.15). An older, larger figure came mostly from the signal picking already-volatile stocks, so we do not use it. WATCH and EVENT showed a similar small lift (about 1.2x to 1.3x) that was statistically established but modest.

A probability model we tried did not work out-of-sample, so it is not shown.

For index options, selling the straddle until expiry gave mixed results across series, and the average loss on the worst 5% of days was very large relative to the premium collected.

MCX history is only just starting; no record is claimed yet.

Limits

Backtests are not guarantees. Costs and slippage are assumptions. Live results after publication are on the Track record page.