ATR-Based Option Strike Levels with Trend and RSI Filters
Summary
This strategy estimates call and put strike levels around a central price, using either VWAP or a 20-period EMA and offsets based on ATR. It rounds the upper level up and the lower level down to a user-selected strike interval, then signals a call sale when price reaches the upper level and a put sale when price reaches the lower level. SuperTrend and RSI conditions, an India-market session window, and a daily trade limit can filter entries.
The script defines percentage stop and target levels for each side and closes open positions near the end of the session. Its chart includes the calculated levels, alerts, and a table of current values. The document provides implementation details but no performance results or independent validation. The displayed price levels are derived from the underlying chart and do not model option premiums, contract selection, or payoff risks, so the signals alone do not establish a complete options-selling method.
Key ideas
- ATR offsets around VWAP or an EMA define candidate call and put strike levels.
- The levels are rounded to a configurable strike interval.
- SuperTrend, RSI, session timing, and a daily trade cap can restrict entries.
- Percentage stops, targets, and end-of-day closures are specified for open positions.
- The document gives no backtest evidence and does not model option premium behavior.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.