🏛️ Institutional SMC Logic & Auction Market Thesis
On Tuesday expiry afternoon sessions, option writers have accumulated massive open interest across key strikes. When spot breaks out of a narrow 30-40 pt midday coil, option writers face violent delta acceleration and are forced to panic-cover, creating an explosive gamma surge where ₹20 premiums rapidly expand to ₹100+.
Permitted Market Regimes:
EXPANSION TREND_UP TREND_DOWN COMPRESSION RANGE REVERSAL CHOPPY
🔍 Phase 1: 1. Morning Decay Trap
Option sellers bleed premiums; morning market remains locked within a 35-45 pt narrow channel.
Active Structural Pivot
Midday Coil High: 24,535.0
M5 Benchmark Level
Risk Geometry (SL)
18.0 - 24.0 Spot Pts
Capped by Max Risk Cap
Composite Entry Score
82.0% Conviction
Quality Gate Passed
Adaptive Scaling Profile
EXPIRY_GAMMA
Dynamic High-Watermark
⚙️ Quantitative Quality Gates & Entry Scoring Filters
The strategy enforces strict fail-fast validation before computing the multi-factor confluence score:
| Filter / Quality Gate | Condition & Mathematical Threshold | Operational Impact & Protection |
|---|---|---|
| 0-DTE Calendar Gate | ExchangeCalendar.is_expiry_day() == True | Active strictly on Tuesday or preponed holiday expiry |
| Time Window Gate | 13:15 IST <= Current Time <= 14:30 IST | Filters out morning false breaks before gamma peaks |
| Morning Range Restriction | Morning Range <= 45.0 points | Guarantees energy accumulation for afternoon squeeze |
| Breakout Bar ATR Ratio | Candle Range >= 1.15x ATR | Confirms genuine ignition momentum |
| Strict Option SL | 50% Option Premium Stop (₹8 - ₹15 max loss) | Prevents terminal expiry theta decay loss |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Strict 50% of premium price (₹8 to ₹15 max per share) or spot break back inside coil low. Maximum risk cap: 28.0 spot points.
Profit Booking & Scaling:
EXPIRY_GAMMA profile: 50% partial at +1.5R, 40% partial at +2.5R, 10% ultimate lottery runner with Afternoon Theta Stagnation defense.
Position Sizing Protocol:
Strictly allocated in integer multiples of 65 shares (NIFTY default) or configured
LOT_SIZE. Fractional lots are mathematically rounded up/down to preserve exchange execution validity.
🎯 Option Strike & Greeks Architecture
Strike Selection Rule:
Slightly OTM strike (Delta 0.25 to 0.35, premium ₹20 to ₹35). Expiring contract (Tuesday 0-DTE).
Weekly Expiry Cycle:
Matures on Tuesday (or preponed to Monday if Tuesday is an official NSE exchange holiday). Automated holiday shift handled via
ExchangeCalendar.
Codebase Implementation:
Class:
Source File:
ExpiryGammaBlastStrategySource File:
nifty_expansion_runner/strategies/expiry_gamma_blast.py