EXPERIMENTALBacktest 2017-01-01 to 2026-10-19Pass bar: ≥ 65% profitable, mean P&L after costs above 0, worst month no worse than −2× the mean month.
613 tradesProfitable 80.6% (baseline 80.7%)Mean P&L +3.2% of max loss (baseline +1.9%)Worst trade -108%Mean month +0.24, worst -5.50 (2026-09), in units of one trade's max loss
Settlement prices, not traded prices: real bid/ask spreads on stock options are wider, so these results are optimistic.
How VRP Opportunities works
The volatility risk premium is the tendency of option-implied volatility to sit above the volatility that follows. It is collected by selling options, here only in defined-risk structures.
Data: NSE's daily F&O bhavcopy (settlement prices, open interest, lot sizes) for every index and stock with options, and end-of-day prices for realized volatility.
IV30: Black-76 implied volatility of the at-the-money strike (average of call and put), using the same-expiry future as the forward, interpolated in variance between the two nearest monthly expiries (at least 7 days out) to a constant 30 days. RV20 / RV60: Yang-Zhang realized volatility over 20 / 60 sessions. VRP spread = IV30 − RV20; VRP ratio = IV30 ÷ RV20. IV rank: where IV30 sits between its lowest (0) and highest (100) of the last year.
Flag: IV rank ≥ 50, VRP ratio ≥ 1.25, and RV20 no higher than RV60 (realized volatility not rising).
Suggested structure (monthly expiry 20–45 days out, deltas from each strike's own IV): iron condor selling the ~16-delta put and call and buying the ~5-delta wings; or a bull put spread (the put side only) when the underlying passes the trend template. Credit, max loss and breakevens are per share; per lot they are multiplied by the lot size.
Gates: at least 100 lots of open interest at each short strike, and no results meeting before expiry (an announced one, or, if none is announced yet, the last results date + about 91 days ± 10).
Backtest: one trade per underlying per expiry on the first flagged day, opened at settlement prices and held to expiry, after 1% of the credit, ₹20 brokerage per leg and STT. Baseline: the same structure opened every month regardless of the flag.
Settlement prices are not quotes: check the live bid/ask before trading. Not advice.