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Build and backtest options

The options page is where you build a multi-leg options strategy on BTC or ETH and test it against real Delta India prices. This guide walks you through the chain, building your legs, the stop and target controls, running a backtest, and reading the results.

Open options in the app →

Read the options chain

The chain lists the strikes available for an expiry, with the call side and the put side. Use it to see what is liquid and to add legs by hand.

  1. Pick BTC or ETH at the top. The spot price (the live index price) shows next to it.
  2. Choose an expiry from the expiry chips. Closer expiries have more strikes near the money.
  3. Use the STRIKES filter (±5, ±8, ±10, or ALL) to narrow how many strikes the table shows.
  4. Read across a row: the STRIKE in the middle, the CALL side (OI, VOL, LTP) on the left, the PUT side on the right.
  5. In the ACTIONS column, click B to add a buy leg, S to add a sell leg, or H to add a matched hedge leg.
The chain shows the strikes that Delta actually lists. Far out-of-the-money wings may not exist for short expiries, which is why a wide strategy can fail to build. LTP is the last traded price, OI is open interest, VOL is volume.
The options chain on the options page, with the strike-count filter and the call and put columns.1Strike-count filter (±5 / ±8 / ±10 / ALL)2Strike price (calls left, puts right)
1Strike-count filter (±5 / ±8 / ±10 / ALL)2Strike price (calls left, puts right)
Pick a strike from the chainChoose the underlying, an expiry, then add a leg.
BTCETH
Spot (index price)$104,200
Expiry: today 17:30
104000 CALL · LTP980
S (add a sell leg)
1/5Pick BTC or ETHsets the underlying
  1. Pick BTC or ETH (sets the underlying)
  2. Note the spot price (strikes are relative to this)
  3. Choose an expiry (nearer expiries list more strikes)
  4. Find a strike row (call on one side, put on the other)
  5. Click S to add a sell leg (B buys, S sells, H adds a matched hedge)

Build a multi-leg strategy

A strategy is a set of legs (up to six). Each leg is one option you buy or sell. The leg table is where you shape the whole structure.

  1. Add legs from the chain, or use a saved preset or template to start from a known structure.
  2. On each leg row, set DIR (SELL or BUY) and TYPE (CE for a call, PE for a put).
  3. Set LOTS (your size on that leg).
  4. Repeat until the structure looks right (up to 6 legs). The exit-condition preview line summarises what will close the trade.
Buying a leg pays premium (a debit); selling a leg collects premium (a credit). Selling has open-ended risk, so size it with care.
The multi-leg builder leg table, with the DIR, TYPE, STRIKE, OFFSET and LOTS columns.1Add a leg (up to 6)2DIR: SELL or BUY3TYPE: CE or PE
1Add a leg (up to 6)2DIR: SELL or BUY3TYPE: CE or PE
Build a multi-leg strategyEach row is one option you buy or sell.
Legs · 2 of 6
SELL · CE · ATMcredit
BUY · CE · ATM +3%debit
Exit condition: squares off at 17:25 IST
1/4Set a sell legcollects premium
  1. Set a sell leg (collects premium)
  2. Add a buy leg to cap risk (this makes it a spread)
  3. Set the lots (your size on each leg)
  4. Read the exit preview (what will close the trade)

Choose how each leg's strike is set (the Strike column)

Instead of pinning a fixed strike, the Strike column tells each leg how to pick its strike every time it enters. This keeps a strategy relative to the market as spot moves. The dropdown has three groups: Strike, Premium, and Delta.

  1. Open the Strike dropdown on a leg.
  2. Strike group: ATM (at the money) picks the strike nearest spot.
  3. Premium group: Closest premium, Premium range, Premium ≥, or Premium ≤ pick by the option's price (its mark).
  4. Delta group: Closest delta or Delta range pick by the option's delta (how much it moves per $1 of spot, from 0 to 1).
  5. Set the OFFSET column next to it. For ATM the offset steps the strike OTM (further out) or ITM (deeper in); for premium and delta methods the offset is ignored and you set the target in the leg's expand row.
ATM is instant. Premium and delta methods read live marks to choose, so they are best for selling strategies where you target a premium or a delta.
The Strike method and OFFSET columns on a leg in the options builder.1Strike method (Strike / Premium / Delta)2OFFSET: the step or value
1Strike method (Strike / Premium / Delta)2OFFSET: the step or value
Choose a strike method (the Strike dropdown)Three groups: Strike, Premium, Delta.
StrikeATM
PremiumClosest premium · Premium range · Premium ≥ · Premium ≤
DeltaClosest delta · Delta range
1/4Strike group: ATM picks nearest spot
  1. Strike group: ATM picks nearest spot
  2. Premium group: pick by the option's price (good for selling)
  3. Delta group: pick by the option's delta (e.g. the 0.25 delta strike)
  4. Set the OFFSET (for ATM it steps out (OTM) or in (ITM))

Set stops, targets, trailing and re-entry

Each leg can have its own stop loss and target, and the whole strategy can have a combined stop and target. You can also trail a stop and re-enter after one fires.

  1. Per leg: set the SL (stop loss) and TARGET columns. The type dropdown chooses what it measures: Points, % (both on the option's premium), Underlying pts, or Underlying % (on spot). SL VALUE and TARGET VALUE hold the number.
  2. Click MORE on a leg for its advanced controls: a trailing stop (it tightens as the trade moves your way) and re-entry (it reopens the leg after a stop or target fires).
  3. For the whole strategy, in Portfolio rules: set Total premium SL % (a combined stop as a percent of the premium you collected) and Overall MTM SL (a combined stop as a dollar amount of open profit or loss). MTM means mark to market, your live open P&L.
  4. Lock & Trail arms a trailing exit on the whole strategy once it is in profit.
Per-leg exits close only that leg; the whole-strategy stop and target close everything. Premium % measures the move in the option's own price; Underlying % measures the move in spot.
The per-leg SL and TARGET columns in the options builder.1Per-leg stop loss2Per-leg target
1Per-leg stop loss2Per-leg target

Set capital, expiry window, time and days

These inputs frame when and how the backtest enters.

  1. Set starting capital so returns are shown as a percent of a real number.
  2. Set the date range to backtest over. The default starts where full chain data begins.
  3. Set the expiry rule (which expiry each cycle trades) and the days-to-expiry window.
  4. Set the entry and exit time in IST, and tick the weekdays you want to trade.
Exit time must be 17:25 IST or earlier so the position squares off before the 17:30 daily expiry. A later entry trades the next day's expiry.
The Portfolio rules with starting capital and the backtest date range.1Starting capital2Backtest start3Backtest end
1Starting capital2Backtest start3Backtest end

Set fees and slippage

Vecktor models real costs so the result is honest, not optimistic.

  1. Leave fees on the Delta India default, or switch to custom and set the fill side and GST.
  2. Set slippage percent per fill. 0 is optimistic; 0.5 to 1 stress-tests less liquid options.
  3. If you change slippage after a run, click Apply next to the field to re-run with the new value.
Every P&L number in the result is net of fees and slippage. They are already deducted, not added on top.
The fees and slippage controls on the options page.1Fees (Delta India default)2Slippage % per fill (Apply re-runs)
1Fees (Delta India default)2Slippage % per fill (Apply re-runs)

Run the backtest and fix errors

Running starts the backtest and streams a progress bar by date.

  1. Click Run. Watch the progress bar fill by trade date.
  2. If you see a strike collision error, your wings are wider than the listed chain. Use a quick-fix chip, narrow the wings, or extend the days-to-expiry.
  3. If you see a partial data coverage warning, your start date is before full chain data exists. Move the start date forward.
  4. Run the same strategy again and it returns instantly from cache.
The Run backtest button on the options page.1Run the backtest
1Run the backtest
Run and fix errorsRun streams a progress bar; errors tell you what to change.
Run backtest
Running... 2026-04-12
Strike collision: wings wider than the listed chain
1/3Click Runstarts the backtest
  1. Click Run (starts the backtest)
  2. Watch it fill by date
  3. Read any error (it says exactly what to change)

Read the results

The result panels go from a quick summary to a full breakdown.

  1. Read the summary: total return, total P&L, win rate, max drawdown, Sharpe.
  2. Check the net-of-costs callout: it shows the exact fees and slippage that were deducted.
  3. Read the performance metrics: for selling, judge by max loss, Calmar, and profit factor, not Sharpe alone.
  4. Scan the calendar heatmap, equity curve versus BTC, and the trade log to see how it behaved day to day.
  5. Use the AI analyst dock to ask why a month lost, or whether the result looks overfit.
Backtests have no marginal cost to run. The AI analyst runs on credits.
Read the resultsSummary first, then costs, then the full breakdown.
Total return+12.4%
Max drawdown-6.1%
Win rate68%
Net of fees and slippage: fees -$42.10
1/3Read total returnafter all costs
  1. Read total return (after all costs)
  2. Check max drawdown (the worst peak-to-trough drop)
  3. See the cost callout (fees and slippage already deducted)

Build on a phone

The builder works on mobile through a compact leg drawer.

  1. Tap to open the leg drawer and add or edit legs one at a time.
  2. Set stops and targets in the same drawer.
  3. Run and read results in the same single-column flow.
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