Weekly Behavior of the Nifty Index: A Comprehensive Decade-Long Study for Strategic Option Selling from Friday to Thursday

Abstract

This comprehensive research paper presents an extensive quantitative analysis of the Nifty 50 index\'s weekly behavioral patterns spanning a decade from 2015 to 2025, with specific focus on price movements from Friday market open to the subsequent Thursday market close. The study establishes a robust statistical foundation for developing systematic weekly option selling strategies in the rapidly evolving Indian derivatives market. Through rigorous examination of over 470 weekly trading cycles encompassing various market conditions including bull markets, bear markets, and periods of extreme volatility, this research identifies consistent and exploitable patterns in index behavior. The analysis reveals that approximately 70% of weekly movements fall within ±300 points of the Friday opening price, while extreme movements exceeding ±700 points occur in only 5.3% of weeks, providing strong statistical support for strategic options positioning. The study employs sophisticated statistical methodologies including distribution analysis, volatility clustering examination, and extreme value theory to develop a comprehensive understanding of weekly price behavior. The findings inform the development of a rules-based options selling strategy that systematically capitalizes on time decay (theta) while implementing multi-layered risk management protocols through data-driven strike price adjustments and dynamic stop-loss mechanisms. The research demonstrates the strategy\'s potential for generating consistent passive income within clearly defined risk parameters, with theoretical returns significantly exceeding traditional fixed-income investments. The empirical evidence supports the viability of systematic options selling approaches when implemented with appropriate discipline and risk management safeguards. This study contributes significantly to the academic literature on systematic trading strategies and provides practical insights for both retail and institutional traders seeking to exploit the structural characteristics of weekly options in emerging market derivatives. The findings offer valuable guidance for evidence-based derivative trading decisions and establish a benchmark for future research in this rapidly expanding field.

Introduction

This research presents a comprehensive statistical analysis of the Nifty 50 index’s weekly behavior over a 10-year period (2015–2025), aimed at developing systematic weekly options selling strategies in the Indian derivatives market. The study analyzes over 470 weekly trading cycles, uncovering consistent patterns in price movements, volatility clustering, and extreme events.

Key findings include:

• Around 70% of weekly movements stay within ±300 points of Friday’s opening price, offering statistical support for safe strike placement in short options strategies.

• Weekly average point movement is ±224.3 points, with standard deviation ~290.5 points, suggesting a moderately predictable trading range.

• The market shows minimal directional bias (average return +0.12%), favoring non-directional strategies like short strangles.

• Volatility clustering is significant, making recent volatility a reliable guide for adjusting position sizes and strike distances.

The paper introduces a rule-based strategy framework that includes:

• Friday entry via selling call and put options ~1000 points from ATM.

• Progressive adjustment of strike positions during the week as the index moves.

• Robust risk management, including 1:1 stop-losses, max 2% loss per trade, and adaptation based on volatility regimes.

It also classifies volatility regimes using the India VIX:

• Low Volatility (VIX < 15): Stable, favorable for selling, but lower premiums.

• Normal Volatility (VIX 15–25): Optimal environment for consistent returns.

Ultimately, the study concludes that systematic options selling strategies, when paired with rigorous data analysis and disciplined risk controls, can deliver consistent passive income in Indian markets, particularly under normal volatility conditions.

Conclusion

This comprehensive decade-long analysis of the Nifty 50 index\'s weekly behavioral patterns provides robust empirical evidence supporting the viability of systematic options selling strategies when implemented with appropriate discipline, risk management protocols, and continuous optimization. The statistical findings reveal persistent and exploitable patterns that can be successfully leveraged through systematic, rules-based approaches to weekly options trading. The research demonstrates that the Indian derivatives market exhibits characteristics that are particularly favorable for options selling strategies, with the majority of weekly movements falling within predictable ranges that can be systematically exploited. The identification of typical movement patterns, combined with comprehensive risk management protocols, creates a framework for generating consistent passive income while maintaining acceptable risk levels across various market conditions. The study\'s most significant contribution lies in establishing a data-driven foundation for weekly options trading that removes emotional decision-making from the process, replacing intuition with statistical evidence and systematic protocols. This approach addresses one of the primary sources of failure in options trading strategies - the inability to maintain discipline during periods of market stress or consecutive losses. The finding that approximately 70% of weekly movements fall within ±300 points provides exceptional statistical support for strategic strike selection, while the identification of extreme event frequencies enables appropriate risk management protocol development. The absence of significant directional bias supports market-neutral approaches that can generate consistent returns regardless of market direction. The comprehensive risk assessment reveals that while extreme events are relatively rare (5.3% of weeks), their potential impact necessitates robust risk management protocols. The implementation of systematic stop-loss rules, position sizing limitations, and dynamic adjustment protocols provides essential protection against tail risks while preserving capital for future opportunities. For practitioners seeking to implement weekly options strategies, this research provides a solid foundation for evidence-based decision-making supported by extensive statistical analysis. The systematic approach outlined in this study offers a reproducible methodology that can be consistently applied across varying market conditions while maintaining appropriate risk management standards. The study contributes significantly to the growing body of academic literature on systematic trading strategies while providing practical insights for market participants. The empirical evidence supports the concept that disciplined, systematic approaches to options selling can generate consistent risk-adjusted returns when properly implemented with appropriate safeguards and continuous optimization. As the Indian derivatives market continues to evolve and mature, this research establishes a benchmark for understanding weekly options behavior and developing effective trading strategies. The methodology and findings provide a foundation for future research and strategy development in this rapidly expanding field. The ultimate success of implementing these strategies depends on the trader\'s ability to maintain discipline, adhere to systematic protocols, and continuously optimize approaches based on ongoing market analysis. The statistical foundation provided by this research offers confidence in the strategy\'s viability while emphasizing the critical importance of proper implementation and risk management. This research demonstrates that with appropriate discipline, systematic approaches, and robust risk management, weekly options selling can serve as an effective component of a diversified trading strategy, providing consistent income generation opportunities within the dynamic Indian derivatives market environment.

References

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Copyright

Copyright © 2025 Rahul Durgia. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.