NIFTY Day-of-Week Pattern Analysis

DAY-OF-WEEK SUMMARY

Day	Dates	Avg Range	Max Range	High First %	Avg Min ATM CE	Avg Min ATM PE	Avg Min ATM+1 CE	Avg Min ATM+1 PE

RECURRING TRIGGER LEVELS (ATM+1 Strike)

ATM CE/PE LOW BY DAY OF WEEK

ATM CE Min LTP — Grouped by Day

ATM PE Min LTP — Grouped by Day

ATM CE AT DAY LOW / ATM PE AT DAY HIGH vs RANGE (Entry Opportunity)

ATM CE at Day Low (Buy CE for Bull Rally)

ATM PE at Day High (Buy PE for Bear Drop)

DAY HIGH/LOW WITH ATM OPTION PRICES

Date	Day	Bias	Open	Low	High	Range	IV @Low	IV @High	ATM CE @Low	ATM PE @High	ATM+1 CE @Low	ATM+1 PE @High

IMPLIED VOLATILITY (IV) STATISTICS

Date	Day	IV @Low	IV @High	Avg IV	Median IV	IV Min	IV Max	IV Range

PREMIUM RETURNS FROM DAY LOW / HIGH — WINDOWED

ATM CE Return from Day Low (Bull Entry)

Date	Day	CE @Low	IV	+5m	+10m	+15m	+20m	+30m	+45m	+60m	→EOD	→50%	→2x

ATM PE Return from Day High (Bear Entry)

Date	Day	PE @High	IV	+5m	+10m	+15m	+20m	+30m	+45m	+60m	→EOD	→50%	→2x

RAPID PREMIUM DOUBLING EVENTS (ATM ≥₹ → 2x WITHIN 60 MIN)

Date	Day	Type	Start	Prem	Strike	IV	Nifty	MaxPain	γ Flip	→2x in	Peak	Nifty@Pk	Peak Prem	Peak %	δ Before	δ After	γ Before	γ After	γ Speed	IV Δ5m	GEX Flip

DOUBLING DRIVER ANALYSIS

Delta Around Doubling Events (type-specific)

Gamma Around Doubling Events (type-specific, ×10⁻⁴)

IV Around Doubling Events

GEX Around Doubling Events

FEATURE IMPORTANCE — Cohen's d (Bottom/Top Prediction)

CE Bottom Predictors (Buy CE when Nifty bottoms)

#	Feature	Cohen's d	Bottom Mean	All Mean

PE Top Predictors (Buy PE when Nifty tops)

#	Feature	Cohen's d	Top Mean	All Mean

ML DOUBLING PREDICTION

Spike Probability Timeline

Feature Importance (Top 15)

Per-Date Detection

Date	Day	Events	Detected	Alerts	False	Lead	Recall

SPIKE DETECTION RULES — BACKTEST 3-tier rule engine derived from ML feature importances

① GAMMA SPIKE
γ ≥ 50×10⁻⁴  OR  percentile ≥ 85%  OR  γ/median ≥ 3×
→
② CONTEXT
Tuesday expiry  +  After 12:15  +  δ range ≥ 0.15
→
③ CONFIRM
|Nifty − GammaFlip| ≤ 30pts  +  Straddle ≥ ₹20  +  γ rising

Signal Timeline

Backtest: Buy Cheap Leg (best strategy)

After FIRE signal, buy cheapest ATM leg ≤ ₹25. Target: 100% (double). Stop: −50%. No entries after 3 PM.

Date	Signal	Type	Entry ₹	Peak ₹	Peak%	Exit ₹	Exit	Reason	P&L%

Strategy Comparison

Strategy	Trades	Wins	Win Rate	Avg P&L	Best	Worst	Total P&L

Per-Date Signal Summary

Date	Day	FIRE	Events	Caught	Missed	False	Cheap Leg Trades

REVERSAL PATTERN ANALYSIS — GREEKS AT TURNING POINTS How 2nd/3rd order Greeks signal highs & lows

THE GAMMAFLIP REVERSAL RULE🔴 HIGH (Sell Setup)
Price ABOVE GammaFlip → 93% of highs
Price ABOVE DeltaFlip → 87%
IV contracting + PCR rising toward 0.8+
CE premium > PE premium
🟢 LOW (Buy Setup)
Price BELOW GammaFlip → 86% of lows
PCR falling below 0.8 → 71%
IV expanding + Charm accelerating
Vanna sign flip at bottom

PRICE vs GAMMAFLIP — REVERSAL POINTS

GAMMA (CE vs PE) at Reversals

NET VANNA at Reversals

NET CHARM at Reversals

ATM IV at Reversals

NET SPEED (3rd order) at Reversals

PCR at Reversals

REVERSAL DETAIL — GREEKS SNAPSHOT

Time	Type	Price	Move	GF Dist	DF Dist	CE γ	PE γ	Net Vanna	Net Charm	Net Speed	IV	PCR	Signals

SIGNAL FREQUENCY — HIGHS vs LOWS

Signal	At Highs	At Lows	Discriminating?

MINIMUM ATM CE/PE LTP BEFORE REVERSAL — BY DATE

Min ATM CE LTP → Forward Return %

Min ATM PE LTP → Forward Return %

ATM+1 CE LTP AT DAY LOW vs DAY RANGE (Entry Opportunity)

ATM+1 CE at Day Low (Buy CE for Bull Rally)

ATM+1 PE at Day High (Buy PE for Bear Drop)

MINIMUM ATM+1 LTP BEFORE REVERSAL — BY DAY

Min ATM+1 CE LTP → Forward Return %

Min ATM+1 PE LTP → Forward Return %

DAY RANGE BY WEEKDAY

INTRADAY ATM+1 CE/PE LTP TIMELINES