Harsh_Malhotra ⚡

Quantitative Trader| PM @AlgoTest_in | Failed Founder | ♟️ Pawn

[Harsh_Malhotra ⚡ @Harsh_Quant]

Everyone's busy saying "0 DTE doesn't work anymore."

Meanwhile, my short-volatility and long-volatility systems had a best month.

June P&L: +₹1,19,125 (20% Return)

Capital Deployed: ₹6,00,000

Markets evolve.
Good Trading systems evolve with it.

On to July. 🙌

#AlgoTrading #OptionsTrading #Trading #Nifty #SystematicTrading

[Harsh_Malhotra ⚡ @Harsh_Quant]

Big Update for indicator based traders…

Now backtesting complex indicator strategies available in 1 month plan in same price…

[AlgoTest | Free Backtesting | Algo Trading India @AlgoTest_in]

Backtesting is now available on the 1-Month Signals plan - something a lot of you asked for.

You can now test your indicator strategy on historical data before you deploy it live: check your Backtest report, P&L, win rate, drawdown, and trade-by-trade logs, then go live with confidence.

Build a signal → connect a trade → backtest → deploy.

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[Harsh_Malhotra ⚡ @Harsh_Quant]

Small-cap funds have beaten my trading returns. 🥲

Invested in small-cap funds 3 months ago after doing
some analysis.+10.93%

All my complex, highly correlated Algo strategies crying in the corner… 📉😂

#SmallCap #Investing #Trading #StockMarket #IndianStockMarket

[Sarang Sood @SarangSood]

Introduced CAS to improve price discovery

One week later, investigating the prices it discovered 😭

[Yatin Mota @yatinmota]

SEBI probing August 3-4 trades during CAS to check for possible manipulation

SEBI is looking into the trades to determine whether the sharp movements observed during the initial days were a result of genuine market activity or whether any participants attempted to influence closing prices, sources told Moneycontrol.

SEBI examining trades during Closing Auction Session.

Concerns raised over Nifty jumps on Aug 3 and 4.

Regulator analyzing data for potential manipulation.

Source:

https://t.co/ZahCvzgHai

[Harsh_Malhotra ⚡ @Harsh_Quant]

Theta decay is an edge again after 1 week..

See my MTM graph in action, powered by @AlgoTest_in robust trading engine. https://t.co/eBh4WU7cOH

[Aditya Singhania @SimpleAditya_9]

Follows my brother, follows😅

[Harsh_Malhotra ⚡ @Harsh_Quant]

He in his madness
prays for storms
Because he knows
कायर भोगे दुख सदा,
वीर भोग्या वस���ंधरा"
~ मैं और रामधारी सिंह दिनकर

[Aditya Singhania @SimpleAditya_9]

Make a noise that they cannot avoid!

12th Aug, No trade day💪

#Traders

[Harsh_Malhotra ⚡ @Harsh_Quant]

Gold has given a good Breakout... 👀
A good time to put some money in it...

[Harsh_Malhotra ⚡ @Harsh_Quant]

"bhai gold toh bas upar hi jaega"
"recession hedge hai"
"smart money is in"

it's down 25% from the top now
nobody's posting about it anymore lol
funny how the crowd goes quiet exactly when the setup gets interesting

ngl if you were looking for a value entry with decent timing, this chart doesn't look bad at all... but what do i know

juaa khelna sehat ke liye hanikarak hai, ghar bhi bik sakta hai
apne financial advisor se pooch lo pehle 🙏

[Harsh_Malhotra ⚡ @Harsh_Quant]

@saurabh_gunjal_ Theta decay was an edge...

[Harsh_Malhotra ⚡ @Harsh_Quant]

Finally Some recovery...
In last few hours

See my MTM graph in action, powered by @AlgoTest_in robust trading engine. https://t.co/ST8BjZc88g

[Kundan Prajapati @ScholarTrading]

Although I have already stopped trading in the Indian market since yesterday, let us choose one day when the entire trading community stands together.

On Tuesday, August 11, 2026 - the day of NIFTY expiry
let us observe a complete trading shutdown to protest against the Closing Auction Session.

No trading. No orders. Not even a single order from our side.

I request every trader, educator, influencer, and market participant to spread this message and support the protest.

Let us show that traders are not just a source of volume - we deserve to be heard too.

Retweet and spread the word

August 11, 2026 - Complete Trading Shutdown against CAS.

#RollBackCAS #ProtestAgainstSEBI

[Tanmay Kurtkoti | Quant Trading @TanmayKurtkoti]

India’s Biggest Casino Part 2

Today is Day 4 of India’s new Closing Auction Session.

It is also the first Sensex weekly expiry under CAS.

At 11:49 AM, the Sensex ATM straddle was trading near ₹697 with ATM volatility around 27%.

That number deserves attention.

👇🏻

Sensex was trading around 78,850.

A ₹697 ATM straddle means the market is charging approximately 0.88% of the index value for today’s remaining expiry risk.

The direct expiry breakevens are roughly:

ATM strike + 697
ATM strike - 697

But there are two ways to read the risk.

The ₹697 straddle directly prices a 697-point premium.

The 27% annualized IV, adjusted for the remaining time, translates to roughly:

1 SD move: 1,030 points
Expected absolute move: around 820 points

Now compare this with Tuesday’s Nifty expiry.

At 3:15 PM:

Nifty: 24,463
ATM straddle: ₹100
Straddle percentage: 0.41%

Official CAS close:

24,615

Actual auction movement:

151 points

The ₹100 Nifty straddle was pricing only 100 points.

The closing auction moved Nifty by 151 points.

The realized settlement move was 1.51 times the entire straddle premium.

The option market underpriced the closing-auction event.

That ₹100 straddle at 3:15 PM represented approximately 41% annualized volatility with 15 minutes remaining.

When only five minutes were left, the same ₹100 premium represented nearly 70% volatility.

That is exactly why IV exploded during CAS.

Now let us apply the same mathematics to Sensex today.

Assuming Sensex stays near 78,850, this is what different straddle premiums would mean at 3:15 PM:

₹400 straddle: 50% IV
₹500 straddle: 63% IV
₹600 straddle: 76% IV
₹700 straddle: 88% IV

And this is only at 3:15 PM.

If ₹700 remains at 3:20 PM with ten minutes left, implied volatility becomes roughly 108%.

If ₹700 remains with five minutes left, implied volatility becomes approximately 153%.

Time decay meets settlement uncertainty.

The corresponding one-standard-deviation moves would be:

₹400 straddle: 501 points
₹500 straddle: 627 points
₹600 straddle: 752 points
₹700 straddle: 877 points

These are enormous moves for the final 15 minutes of an index expiry.

The most important number today may not be where Sensex trades at 2 PM.

It may be the ATM straddle at 3:15 PM.

Because after 3:15, the normal cash market stops giving continuous price discovery, while the closing auction begins determining the final settlement value.

On Tuesday, I watched the Nifty straddle refuse to decay throughout the day.

It was still near ₹100 at 3:15 PM.

The market was correctly sensing event risk.

But even that premium was not enough for the eventual 151-point settlement movement.

Today Sensex traders appear to be pricing that lesson in advance.

Tuesday:

Nifty premium as percentage of index: 0.41%

Today at 11:49 AM:

Sensex premium as percentage of index: 0.88%

Normalized premium is already more than twice as high.

Of course, this is not a perfect comparison.

Tuesday’s Nifty figure was at 3:15 PM.

Today’s Sensex figure is from 11:49 AM with several hours remaining.

The real comparison begins at 3:15 PM.

That is when we will know how much CAS fear remains in the premium.

My CAS expiry dashboard for today:

At 3:15 PM, note:

Sensex level
ATM straddle
Indicative closing index
Synthetic future
Auction imbalance
Straddle IV
Final settlement movement

This is now essential expiry-day data.

If the Sensex straddle is still ₹600 to ₹700 at 3:15 PM, the market will be pricing approximately 76% to 88% annualized volatility for the final 15 minutes.

If it survives until 3:20, that rises to roughly 93% to 108%.

That is CAS risk.

Closing auctions may eventually stabilize.

But right now, the option market is being forced to price an uncertain settlement value created during a cash auction that has barely completed four live sessions.

Today’s Sensex expiry will be an important stress test.

I will be watching 3:15 PM very closely.

[Harsh_Malhotra ⚡ @Harsh_Quant]

Finally Some decay..

[Harsh_Malhotra ⚡ @Harsh_Quant]

@justnottamomma @SEBI_updates Achha hoga, but kiske liye retail ke liye ya Manipulators ke liye... 🙃

[Harsh_Malhotra ⚡ @Harsh_Quant]

La**e ka theta decay....
Karlo option selling... 🥲

[Harsh_Malhotra ⚡ @Harsh_Quant]

@Bbilli007 bhai haso mat bohot dukh ho raha he...🙃
Dispression me hu last 3 dino se...

[Harsh_Malhotra ⚡ @Harsh_Quant]

Ye jo 3 mahine laga ke portfolio banaya tha...

Ab iska kya karu? 😭

Matrix se escape hone hi wala tha...
Tabhi CAS aa gaya....

#cas

[Harsh_Malhotra ⚡ @Harsh_Quant]

Guys I think i have cracked it 😁
Holygrail 100% return YOY...
After slippages taxes and charges..
@AlgoTest_in

[Mayank Tripathi @mayank_408]

Working 12-hour days, building and testing trading systems after a full-time job, refining them late into the night,constantly juggling both, burnt out,only for one nonsensical circular to wipe it all away. Months of effort,discipline, and sleepless nights, swept under the carpet

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