VRP Harvester Options
NIFTY Iron Condor · PAPER · State: idle · v3.0
Open Positions
0
Updated 2026-06-16T10:30
India VIX
13.25
FII Net Flow
+2,604 Cr
Entry Window
CLOSED
Outside entry window
Next Expiry
16 Jul 2026
3 DTE
Regime Filters Last check: 2026-07-10 10:30
BLOCKEDIndia VIX
12.44
13.0-21.0
IV Percentile
56.18
35.0-78.0
IV Rank
17.56
>=30.0
ADX(14)
12.66
<22.0
ATR Ratio
0.84
<1.2
RSI(5)
37.95
35.0-65.0
PCR Volume
1.00
0.7-1.3
Gap at Open
0.68
<2.0%
Event Calendar
0.00
0 blocked events
ATR Consecutive Breach
0.00
<3 days
VRP Quality (IV/RV)
0.91
>=1.25
Circuit Breaker
1.02
<2.5%
Current Position
No open positions. Engine is in idle state.
FII/DII Flow
FII Net
₹+2,604 Cr
DII Net
₹+2,020 Cr
FII Buy
₹15,318 Cr
FII Sell
₹12,714 Cr
Data: 10-Jul-2026
Paper Trading Activity
LAST 20 RUNS| Timestamp | Action | Details |
|---|---|---|
| 2026-07-10T15:15 | NONE | Outside entry window |
| 2026-07-10T10:30 | NONE | Regime blocked: India VIX, IV Rank, VRP Quality (IV/RV) |
| 2026-07-09T15:15 | NONE | THURSDAY is blocked |
| 2026-07-08T15:15 | NONE | WEDNESDAY is blocked |
| 2026-07-07T15:15 | NONE | Outside entry window |
| 2026-07-07T10:30 | NONE | DTE 2 out of range |
| 2026-07-06T15:15 | NONE | Outside entry window |
| 2026-07-06T10:30 | NONE | DTE 3 out of range |
| 2026-07-03T15:15 | NONE | Outside entry window |
| 2026-07-03T10:30 | NONE | Regime blocked: India VIX, IV Rank, VRP Quality (IV/RV) |
| 2026-07-02T15:15 | NONE | THURSDAY is blocked |
| 2026-07-01T15:15 | NONE | WEDNESDAY is blocked |
| 2026-06-30T15:15 | NONE | Outside entry window |
| 2026-06-30T10:30 | NONE | DTE 2 out of range |
| 2026-06-29T15:15 | NONE | Outside entry window |
| 2026-06-29T10:30 | NONE | DTE 3 out of range |
| 2026-06-26T15:15 | NONE | Outside entry window |
| 2026-06-26T10:30 | NONE | Regime blocked: IV Rank, VRP Quality (IV/RV) |
| 2026-06-25T15:15 | NONE | THURSDAY is blocked |
| 2026-06-24T15:15 | NONE | WEDNESDAY is blocked |
Run:
.venv/bin/python -m trader.options.vrp_paper_runnerTransaction Costs & Tax (2026 Budget Rates)
Per-Trade Cost (4-leg, ₹2,500 credit)
Brokerage (₹20 × 8 orders)₹160
STT (0.15% on sell premium)₹4
Exchange Charges₹2
GST (18%)₹29
Stamp Duty₹0
SEBI Fee₹0
Slippage (est.)₹200
Total Round-Trip
₹395
Cost as % of credit
15.8%
Tax on F&O Profits (FY2026)
STCG Tax Rate20%
Health & Education Cess4%
Effective Tax Rate20.8%
Paper Trading Tax Estimate
Gross P&L (all trades)₹+0
Estimated Tax-₹0
Net After Tax₹+0
STT increased to 0.15% from Apr 2026 (Budget 2026). STCG on F&O = 20% + 4% cess. Costs are estimated; actual may vary with premium amount and broker.
Trade History
No closed trades yet. History will appear after first exit.
10-Year Backtest 2015-01-05 → 2025-12-30
SYNTHETICCAGR
19.57%
Sharpe
6.6
Max DD
9.48%
Win Rate
94.5%
Profit Factor
13.38
Total Trades
454
Initial Capital
₹1,000,000
Final Equity
₹7,122,711
Total Return
612.27%
Total Costs
₹1,287,150
Equity Curve
Sharpe > 0.7
PASS
MaxDD < 5%
FAIL
Win Rate > 70%
PASS
Profit Factor > 1.3
PASS
Stress Period Performance
| Period | Trades | Wins | Losses | P&L | Worst Trade |
|---|---|---|---|---|---|
| Demonetisation 2016 | 9 | 9 | 0 | ₹+75,954 | ₹+1,201 |
| IL&FS Crisis 2018 | 12 | 10 | 2 | ₹+68,098 | ₹-34,129 |
| COVID Crash 2020 | 1 | 1 | 0 | ₹+3,085 | ₹+3,085 |
| Russia-Ukraine 2022 | 21 | 21 | 0 | ₹+372,378 | ₹+995 |
| Adani Crisis 2023 | 0 | 0 | 0 | ₹+0 | — |
| Election Vol 2024 | 15 | 15 | 0 | ₹+463,472 | ₹+14,566 |
Avg Credit
₹24,985
Avg Hold
2.2 days
Avg Win
₹+15,425
Avg Loss
₹-19,786
Monthly Returns
21-01 +0.0%
21-02 +0.0%
21-03 +0.0%
21-04 +0.0%
21-05 +0.0%
21-06 +0.0%
21-07 +0.0%
21-08 +0.0%
21-09 +3.0%
21-10 +5.3%
21-11 +5.0%
21-12 +3.9%
22-01 +4.3%
22-02 +5.0%
22-03 +4.0%
22-04 +3.9%
22-05 +6.3%
22-06 +3.4%
22-07 +2.3%
22-08 +2.1%
22-09 +3.7%
22-10 +0.7%
22-11 +0.0%
22-12 +0.0%
23-01 +0.0%
23-02 +0.0%
23-03 +0.0%
23-04 +0.0%
23-05 +0.0%
23-06 +0.0%
23-07 +0.0%
23-08 +0.0%
23-09 +0.0%
23-10 +0.0%
23-11 +0.0%
23-12 +3.9%
24-01 +4.9%
24-02 +7.1%
24-03 +4.2%
24-04 +2.4%
24-05 +6.6%
24-06 +1.6%
24-07 +0.5%
24-08 +2.6%
24-09 +0.5%
24-10 +0.0%
24-11 +3.4%
24-12 +0.0%
25-01 +4.0%
25-02 +1.2%
25-03 +0.0%
25-04 +3.6%
25-05 +5.4%
25-06 +1.1%
25-07 +0.0%
25-08 +0.0%
25-09 +0.0%
25-10 +0.0%
25-11 +0.0%
25-12 +0.0%
Showing last 60 months
VRP Strategy Reference
Structure
Iron Condor on NIFTY weeklies
Entry: Fri 10:15-14:30 / Mon-Tue alt
Exit: Wed 15:15 (default)
DTE: 4-6 days
Max 1 position at a time
Regime Filters
VIX: 13-21 (kill @ 28)
IV Percentile: 35-78
ADX < 22
ATR Ratio < 1.20
RSI(5): 35-65
PCR: 0.7-1.3
72h event buffer
Realistic Targets
CAGR: 6-10% (₹10-20L)
Max DD: <3%
Sharpe: >0.7
Win Rate: 70-75%
Profit Factor: >1.5
Profit Target: 55%
Stop Loss: 0.75x credit
Cost/Trade: ~₹250 (IC)