🏛️ Institutional SMC Logic & Auction Market Thesis
Large institutional option writers leave indelible signatures in the live option chain. When Put OI skyrockets (Put Writing) while Call OI unwinds (Short Covering), the resulting dealer delta imbalance forces option market makers to buy underlying futures, engineering a relentless ramp.
Permitted Market Regimes:
EXPANSION TREND_UP RANGE TREND_DOWN REVERSAL
🔍 Phase 1: 1. OI Telemetry Stream
Live streaming option chain aggregates open interest changes across ±5 strike window.
Active Structural Pivot
Key Put Wall Support: 24,500.0 PE (+18.5% OI) | Call Unwinding at 24,600.0 CE
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
STANDARD_BALANCED
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 |
|---|---|---|
| Put-Call Ratio (PCR) Filter | PCR >= 1.25 (Bullish) or PCR <= 0.75 (Bearish) | Confirms macro option chain bias |
| OI Change Differential | Dominant strike OI change >= 1.5x opposing strike | Filters out balanced writing days |
| Futures Volume Confirmation | Futures volume ratio >= 1.20x | Validates dealer delta hedging flow |
| Spot Price Alignment | Price above Max Pain / Put wall support | Prevents buying into massive overhead call walls |
| Buildup Classification Gate | Matches LONG_BUILDUP or SHORT_BUILDUP label | Ensures true directional institutional commitment |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 4.0 points beyond the dominant option strike wall or technical swing low. Spot risk: 16.0 - 25.0 points.
Profit Booking & Scaling:
STANDARD_BALANCED profile: 50% partial at +1.5R, 30% partial at +2.5R, 20% runner targeting next major OI strike wall.
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:
ATM strike or next active strike experiencing aggressive writing. Tuesday weekly contract.
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:
OptionChainOIImbalanceStrategySource File:
nifty_expansion_runner/strategies/option_chain_oi_imbalance.py