Option Strategies

Option Strategies is a strategy builder on a replayable option chain. Build a multi-leg position from a past session or the live chain, read its payoff, value at any date, greeks, probabilities and estimated margin, step through the session bar by bar, keep the strategy in a library, and backtest the same structure as a rule over months of sessions.

Module

Option Strategies

How to open

Add Widget ▸ Options Trading ▸ Option Strategies

Data source

TrueData option bars (socket for listed contracts, archive for expired ones) + local Black–Scholes model

Saved in workspace

Yes

Option Strategies with a historical NIFTY option chain on the left and a short iron condor's metric cards, payoff chart with dated value lines and legs on the right (dark theme) — A short iron condor on NIFTY: the chain at the replay bar on the left; the metric cards, the payoff with its Now, T+1 and T+3 lines, and the legs on the right.

Loading a session

1
Pick an underlying
Search an index or stock. The spot and the front future load with it, and the expiries that were live on the chosen date are offered, expired ones included.
2
Pick the session
The replay row holds the date (previous / next trading day arrows skip weekends), the bar interval (1m / 5m / 15m), the transport (session open, 15 minutes back, one bar back, play, one bar forward, 15 minutes forward, session close), the session slider and the playback speed. Replay / Live in the toolbar switches to today's session with live ticks on top of its bars.
3
Set the strike window
±3 to ±30 strikes around the money.

The chain at the bar

Calls on the left, puts on the right. Layout chooses the columns: open interest (with the heat bar), OI change since the session open, volume, price (with its change since the open), implied vol, delta and theta from the same chain model the Option Chain and IV Smile panels use, and a build-up tag (LB long build-up, SC short covering, SB short build-up, LU long unwinding; blank when OI has not printed since the previous bar). Hover a price for B (buy leg) or S (sell leg); right-click a contract to open its chart, watch it or add it to a watchlist. Click a strike to make it the payoff target. The chain shows price, IV, delta and OI by default; Layout adds OI change, volume, theta and the build-up tag.

Every option price is the contract's last print at or before the replay bar; a print that came later is never shown, so an illiquid strike reads as its last trade, not a future one.

Building the basket

Quick build: a view (Bullish, Bearish, Neutral, Others), a strategy from the catalogue, and how strikes are chosen: ATM ± width (steps from the money), by delta, by premium or % out of the money. In the rule modes the innermost leg of each side lands where the rule says and the others keep the template's spacing. Suggest ranks the view's strategies by their value at the payoff target and date, with probability of profit, max profit, max loss and reward to risk, and a click selects one.
+ Future adds a futures leg; flip it to sell in the row.
Each leg row edits side, call / put / future, strike (with ± steps), expiry, lots and entry price, and shows the mark, implied vol, position delta and P&L. Roll exits the leg at the bar and opens the same side at another strike or expiry; Exit closes it at the bar; the bin removes it.
Auto-exit (behind the button of that name) closes every open leg when the open P&L reaches a profit, falls to a loss, or at a time of day, as the replay moves forward.

Adding, exiting, rolling and editing are logged and drawn as markers on the P&L chart.

The figures

One strip above the chart; hover a figure for the working behind it.

Figure	Meaning
P&L	Realised plus open P&L at the bar; the round-trip charges (NSE or BSE rates) are in the tooltip.
Max profit / Max loss	Exact, from the payoff's kinks. Unlimited when the slope beyond the strikes is unbounded; a net short put reports the loss to zero.
Break-evens	Where the expiry payoff crosses zero.
Prob. of profit	Chance the expiry payoff is at or above zero, integrated between the break-evens under a lognormal at the basket's implied vol.
Net debit / credit	Premium paid or received.
Margin	Scan risk on the worse side with spread credit (a later-expiry long counts), exposure, less the short premium, plus the long premium. An estimate, not the exchange's SPAN file.

The line beneath carries the position greeks (Σ sign · lots · lot size · greek; theta per day, vega per vol point), reward to risk, the 1σ expected move to expiry and the probability of touching each break-even.

Analysis tabs

Four tabs; each one's own views sit on the thin row beneath it, and the chart fills the pane.

Tab	Shows
Payoff	At expiry: P&L against the underlying at expiry, plus a line for Now and any T+n days, each priced by Black–Scholes at the leg's own vol. IV shifts every vol; Target steps the marker by a strike; σ bands shade the ±1σ and ±2σ move. Strike ticks mark the legs. Price × date: P&L as a heat map over price and date up to expiry.
Greeks	vs price: position delta, gamma, theta and vega against the underlying at the bar. Δ, Γ, Θ, Vega, IV: per leg through the session, with the position line.
Session	P&L and Premium (mark-to-market and net premium through the session, with adjustment markers), OI and OI Δ per leg.
Chain	Through the session: call versus put OI, PCR, max pain, ATM IV and the ATM straddle of the strike window.

The Price × date tab showing P&L as a heat map over price and date (dark theme) — Price × date

The Chain tab showing call and put open interest through the session (dark theme) — Chain: call vs put OI

Library

Library saves the basket under a name, lists the saved strategies with load and delete, and copies the basket as text so it can be pasted into another session.

Backtester

Backtest runs the structure as a rule over a date range. Each leg has a side, type, strike rule (ATM ±, Delta, Premium, % OTM, Straddle ×), expiry (Weekly, Next weekly, Monthly), lots, its own entry time and an optional wait and trade (enter only after the premium moves a percentage). The strategy has entry and square-off times, the bar size, a Hold of one or more sessions, the dates, per-leg and MTM stop-loss and target, trailing, re-entry, weekday and days-to-expiry filters, and costs with brokerage and slippage.

Fills happen on bar closes at the contract's last print at or before the bar, on the ₹0.05 tick; a contract that stops printing cannot trigger a stop and a forced exit on it is marked with an asterisk. Expired contracts are read from the archive. Results show net P&L, win rate and profit factor by day and by trade, expectancy, drawdown of the equity curve and the worst intraday drawdown, Sharpe and Sortino, the equity curve, daily P&L, and tables by day, month and weekday. Replay on a day loads its trades into the replay.

The backtester's definition with legs, rules, filters and run controls (dark theme) — The backtester's definition.

Skipped days

A day without data, or whose nearest listed expiry is too far away for the expiry list to cover it, is skipped with the reason and excluded from every statistic. Read the number of days traded before the results.

What's saved

The underlying, expiry, strike window, interval, session date and bar, the legs with their adjustment log, watched contracts, chain columns, the pane split, the analysis tab and the payoff view are stored with your workspace.