Sample Strategy - Wait and trade (SENSEX)

Disclaimer:

This document is for informational purposes only and describes the mechanics of the strategy as configured on the Quantiply platform. It is not financial advice. Past performance of any strategy does not guarantee future results. Please ensure you understand the risks involved before trading with real capital.

Strategy Overview:

This strategy sells both the ATM Call and ATM Put options on SENSEX a setup known as a Short Straddle. But rather than entering the moment the strategy clock starts, it waits. It watches the option premiums and only fires the entry order once a specific condition is met.

That condition is a 10% drop in the option premium from its value at the time the strategy begins. This conditional entry mechanism is called Wait & Trade.

The key idea: you do not chase the market. You let the premium come to you and only enter once it does.

Strategy Snapshot:

Here is an overview of the key configuration parameters for this strategy:

What is Wait & Trade?

Wait & Trade is a smart entry feature that replaces immediate market entry with a conditional one. Instead of placing the sell order the moment the strategy starts, the system first captures the current premium of the selected strike as a reference price. It then monitors the live premium and waits for it to fall by the configured percentage before placing the order.

In this strategy, the wait condition is set to a 10% decline. That means the system will only enter if the premium drops by at least 10% from where it was when the strategy started.

Example: If the ATM Call premium is ₹200 at strategy start time, the reference price is ₹200. The system waits for the premium to fall to ₹180 (10% below ₹200). Only once it reaches ₹180 or lower does the sell order get placed.

How the Entry Works:

• The strategy start time is reached. The algorithm identifies the current ATM strike on SENSEX for both CE and PE.
• Reference premiums are captured. The live premium of the ATM CE and ATM PE at that moment is recorded as the reference price for each leg.
• Monitoring begins. The system starts watching the live premium of each leg continuously, without placing any orders yet.

After the above steps, the system checks whether premiums have fallen by 10% or more from their reference price. The moment a leg's premium drops by 10%, the sell order for that leg is executed at market price. Each leg is monitored independently; one may enter before the other. Once entered, the position runs until it hits its exit conditions or end-of-day closure.

What if the condition is never met?

If the premium never drops by 10% from its reference price during the trading session, the entry order is never placed. The strategy simply does not trade that day.

This is intentional. A day where the premium keeps rising or stays flat at a high level is often a day where the market is nervous or directional. On such days, a short straddle carries significantly more risk, and not entering is itself a form of risk management.

No trade is also a valid outcome. The Wait & Trade condition acts as a built-in filter, keeping you out of unfavorable market conditions automatically.

Examples:

Scenario 1: Premium Drops, Both Legs Enter.

At 9:20 AM, SENSEX ATM CE is at ₹250 and ATM PE is at ₹240. By 9:38 AM, CE has dropped to ₹222 (11% decline) and PE has dropped to ₹214 (10.8% decline). Both conditions are met, and both legs are sold. The strategy is now live.

Scenario 2: One Leg Enters, Other Does Not.

At 9:20 AM, ATM CE is at ₹250 and ATM PE is at ₹240. The market drifts upward  CE premium falls to ₹222 and the CE leg enters. But the PE premium rises to ₹260 as the Put gains value from the upward move. The PE never drops 10%, so only the CE leg is traded for the session.

Scenario 3: No Entry All Day.

Both premiums climb steadily and never revisit their opening levels. The 10% drop condition is never triggered. The strategy sits out for the day  no positions, no P&L.

Things to Keep in Mind:

• On high-volatility days, the entry condition may never be met. This is by design; it is a protective filter, not a flaw.
• The 10% threshold is configurable on the Quantiply platform. A smaller threshold will result in more frequent entries; a larger threshold will be more selective.
• Because entry is delayed, there is less time available for premium decay to work in your favor compared to an immediate entry. This is the trade-off for a safer entry condition.
• The reference price is locked in at strategy start time. If the market gaps down and premiums
• Each leg is monitored independently. It is possible for one leg to enter and the other to not meaning you could end up with a single-leg position for the session.