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ATM Straddle Based on VWAP

This strategy sells an ATM straddle (Call and Put) when the combined premium is below VWAP, signaling potential for theta/time decay. It's designed for sideways or low-volatility days and aims to capture premium erosion throughout the day.

Ideal Conditions:​

  • You're expecting a non-trending market.
  • Ideal for expiry days.
  • You want time decay to work in your favor, without directional bias.

Strategy Rules​

Entry Conditions​

  • No active positions: The system only takes a trade if no trades are currently open.
  • Time filter: Trades are allowed after 9:20 AM once the market has settled a bit.
  • VWAP confirmation: Combined premium < VWAP (on combined-premium candles)
## Entry Condition 
if (self.position == []) and \
    (self._triggers == []) and \
    (self.candleTime >= datetime.time(9,20,0)) and \
    (self.dt_combPrem['close'].iloc[-1] < self.idc_combPrem_vwap.iloc[-1]):
    self.act_ac380()

Exit Conditions​

  • If Combined Premium > VWAP (vol picking up / regime shift), or
  • Time = 03:15 PM (hard, time-based exit)
## Exit Condition 
if (self.position != []) and \
    (self.candleTime >= datetime.time(9,20,0)) and \
    (((self.dt_combPrem['close'].iloc[-1] > self.idc_combPrem_vwap.iloc[-1]) or \
    (self.candleTime == datetime.time(15,15,0)))):
    self.act_ac396()

Imports & Class Shell​

import datetime
import pandas as pd 
from eventManager import Strategy, runEvents

class st_OptionsStraddle(Strategy):
    pass

Strategy is your builder’s base class.

Action Registry​

We maintain two actions—enter and exit—and add a minute-level failsafe that squares off around 3:15 PM.

class st_OptionsStraddle(Strategy):
    def init(self):
        self.actions_all = {
            'act_ac380': {'trigger': False, 'legs': []},
            'act_ac396': {'trigger': False, 'legs': []}
        }
    
    def minTrigger(self):
        if (self.currentCandle + datetime.timedelta(minutes=1)).time() == datetime.time(15,15,0):
            self.squareoff_all()
            self.finish
  • act_ac380 will enter the trade; act_ac396 will exit all.
  • minTrigger runs every minute; we add a safety square-off at 3:15 PM.

Data: Combined Premium​

We use the Combined Premium data and store it as dt_combPrem. The asof: 09:20:00 makes ATM selection consistent at that reference time.

def data_init(self):
    self.getCombinedPremium(
        strikes=[
            {'exp': {'expNo': 0, 'expType': 'weekly'}, 'opType': 'CE', 'strike': {'at': 'atm', 'by': 'strike'}},
            'ADD',
            {'exp': {'expNo': 0, 'expType': 'weekly'}, 'opType': 'PE', 'strike': {'at': 'atm', 'by': 'strike'}}
        ],
        dataLength=1,
        candleType='candlestick',
        timeFrame=None,
        asof='09:20:00',
        name='dt_combPrem'
    )

Indicator: VWAP on Combined Premium​

We apply VWAP directly to the combined-premium dataframe.

def indicator_init(self):
    self.applyIndicator(
        indicatorName='vwap',
        name='idc_combPrem_vwap',
        df=lambda: self.dt_combPrem,
    )

Entry Action​

At entry, sell CE + PE using ATM moneyness at 09:20 PM or after (whenever all conditions are satisfied).

def act_ac380(self):
    self.actions_all['act_ac380']['trigger'] = True 

    # CE leg
    leg = self.addLeg(
        transactionType='sell',
        optionType='CE',
        strikeSelection={'strikeBy': 'moneyness', 'strikeVal': 0, 'asof': '09:20:00', 'roundoff': None},
        qty=75,
        expiry={'expType': 'weekly', 'expNo': 0},
        target={'isTarget': False, 'targetOn': 'val', 'targetValue': 1},
        SL={'isSL': False, 'SLon': 'val', 'SLvalue': 1},
        trailSL={'isTrailSL': False, 'trailSLon': 'val', 'trailSL_X': 1, 'trailSL_Y': 1},
        reEntryTg={'isReEntry': False, 'reEntryOn': 'asap', 'reEntryVal': 0, 'reEntryMaxNo': 20},
        reEntrySL={'isReEntry': False, 'reEntryOn': '0', 'reEntryVal': None, 'reEntryMaxNo': 20},
        waitTrade={'isWT': False, 'wtOn': 'val-up', 'wtVal': 1, 'triggers': []},
        segment='OPT',
        entryValidity='Day',
        remark='Entrying Leg',
        squareoff='this',
        legName='lg_ac380_1',
        webhook={'is': False, 'entryMessage': {}, 'exitMessage': {}}
    )
    self.actions_all['act_ac380']['legs'].append(leg)

    # PE leg
    leg = self.addLeg(
        transactionType='sell',
        optionType='PE',
        strikeSelection={'strikeBy': 'moneyness', 'strikeVal': 0, 'asof': '09:20:00', 'roundoff': None},
        qty=75,
        expiry={'expType': 'weekly', 'expNo': 0},
        target={'isTarget': False, 'targetOn': 'val', 'targetValue': 1},
        SL={'isSL': False, 'SLon': 'val', 'SLvalue': 1},
        trailSL={'isTrailSL': False, 'trailSLon': 'val', 'trailSL_X': 1, 'trailSL_Y': 1},
        reEntryTg={'isReEntry': False, 'reEntryOn': 'asap', 'reEntryVal': 0, 'reEntryMaxNo': 20},
        reEntrySL={'isReEntry': False, 'reEntryOn': '0', 'reEntryVal': None, 'reEntryMaxNo': 20},
        waitTrade={'isWT': False, 'wtOn': 'val-up', 'wtVal': 1, 'triggers': []},
        segment='OPT',
        entryValidity='Day',
        remark='Entrying Leg',
        squareoff='this',
        legName='lg_ac380_2',
        webhook={'is': False, 'entryMessage': {}, 'exitMessage': {}}
    )
    self.actions_all['act_ac380']['legs'].append(leg)

Note: In this version we’ve disabled SL/targets to keep logic simple.

Exit Action​

Square-off all positions.

def act_ac396(self):
    self.actions_all['act_ac396']['trigger'] = True 
    self.squareoff_all(remark='Square off all')

Daily Setup — Load & Init​

Load data, apply indicators, reset per-day counters.

def onNewDay(self):
    self.data_init()
    self.indicator_init()
    self.entries = {'cnd_ct1': {'max': 0, 'cur': 0}}

Complete Code​

import datetime
import pandas as pd 
from eventManager import Strategy, runEvents

class st_OptionsStraddle(Strategy):
    def init(self):
        self.actions_all = {'act_ac380': {'trigger': False, 'legs': []}, 'act_ac396': {'trigger': False, 'legs': []}}
    
    def minTrigger(self):
        
        if (self.currentCandle + datetime.timedelta(minutes=1)).time() == datetime.time(15,15,0):
            self.squareoff_all()
            self.finish 
    
    def data_init(self):
        self.getCombinedPremium(strikes=[{'exp': {'expNo': 0, 'expType': 'weekly'}, 'opType': 'CE', 'strike': {'at': 'atm', 'by': 'strike'}}, 'ADD', {'exp': {'expNo': 0, 'expType': 'weekly'}, 'opType': 'PE', 'strike': {'at': 'atm', 'by': 'strike'}}], 
        dataLength=1, candleType='candlestick', 
        timeFrame=None, asof = '09:20:00', name = 'dt_combPrem')
        
    def indicator_init(self):
        self.applyIndicator(indicatorName = 'vwap', name='idc_combPrem_vwap', df = lambda : self.dt_combPrem, )
    
    def act_ac380(self):
        self.actions_all['act_ac380']['trigger'] = True 
        ## ATM Straddle
        leg = self.addLeg(transactionType='sell', optionType='CE', 
            strikeSelection={'strikeBy' : 'moneyness', 'strikeVal':0, 'asof':'09:20:00', 'roundoff' : None}, 
            qty=75, expiry={'expType':'weekly','expNo':0}, 
            target={'isTarget':False,'targetOn':'val','targetValue':1}, 
            SL={'isSL' : False, 'SLon': 'val', 'SLvalue' : 1}, 
            trailSL = {'isTrailSL':False, 'trailSLon':'val', 'trailSL_X': 1, 'trailSL_Y': 1}, 
            reEntryTg = {'isReEntry' : False, 'reEntryOn' : 'asap', 'reEntryVal' : 0, 'reEntryMaxNo':20}, 
            reEntrySL = {'isReEntry' : False, 'reEntryOn' : '0', 'reEntryVal' : None, 'reEntryMaxNo':20}, 
            waitTrade = {'isWT' : False, 'wtOn' : 'val-up', 'wtVal' : 1, 'triggers': []}, 
            segment = 'OPT', entryValidity = 'Day', 
            remark = 'Entrying Leg', 
            squareoff = 'this', legName = 'lg_ac380_1', 
            webhook = {'is' : False, 'entryMessage' : {}, 'exitMessage' : {}})
        self.actions_all['act_ac380']['legs'].append(leg)
        leg = self.addLeg(transactionType='sell', optionType='PE', 
            strikeSelection={'strikeBy' : 'moneyness', 'strikeVal':0, 'asof':'09:20:00', 'roundoff' : None}, 
            qty=75, expiry={'expType':'weekly','expNo':0}, 
            target={'isTarget':False,'targetOn':'val','targetValue':1}, 
            SL={'isSL' : False, 'SLon': 'val', 'SLvalue' : 1}, 
            trailSL = {'isTrailSL':False, 'trailSLon':'val', 'trailSL_X': 1, 'trailSL_Y': 1}, 
            reEntryTg = {'isReEntry' : False, 'reEntryOn' : 'asap', 'reEntryVal' : 0, 'reEntryMaxNo':20}, 
            reEntrySL = {'isReEntry' : False, 'reEntryOn' : '0', 'reEntryVal' : None, 'reEntryMaxNo':20}, 
            waitTrade = {'isWT' : False, 'wtOn' : 'val-up', 'wtVal' : 1, 'triggers': []}, 
            segment = 'OPT', entryValidity = 'Day', 
            remark = 'Entrying Leg', 
            squareoff = 'this', legName = 'lg_ac380_2', 
            webhook = {'is' : False, 'entryMessage' : {}, 'exitMessage' : {}})
        self.actions_all['act_ac380']['legs'].append(leg)
        
    def act_ac396(self):
        self.actions_all['act_ac396']['trigger'] = True 
        ## Square off
        self.squareoff_all(remark='Square off all')
        
    def onNewDay(self):
        self.data_init()
        self.indicator_init()
        self.entries = {'cnd_ct1': {'max': 0, 'cur': 0}}
    
    def onCandleClose(self):
        
        ## Entry Condition 
        if (self.position == []) and \
            (self._triggers == []) and \
            (self.candleTime >= datetime.time(9,20,0)) and \
            (self.dt_combPrem['close'].iloc[-1] < self.idc_combPrem_vwap.iloc[-1]):
            self.act_ac380()
            
        ## Exit Condition 
        if (self.position != []) and \
            (self.candleTime >= datetime.time(9,20,0)) and \
            (((self.dt_combPrem['close'].iloc[-1] > self.idc_combPrem_vwap.iloc[-1]) or \
            (self.candleTime == datetime.time(15,15,0)))):
            self.act_ac396()
               
    def onEnd(self):
        pass