Scalping index options with VWAP and Supertrend: a fast trend playbook
Scalping index options is not about speed. It is about taking only the trades where four simple things agree, and leaving the rest.
Who is in control: VWAP
The session VWAP is the average price everyone paid today. Above it, buyers are in control; below it, sellers. Longs above VWAP and shorts below is the first filter, and it removes half of all bad trades on its own.
Which way: EMA 9 over 21
The fast EMA over the slow one confirms direction on the timeframe you trade. The cross itself is late; use it as a filter, not a trigger.
Where the stop goes: Supertrend 7/2
Supertrend gives a trailing line that flips with the trend. It is the natural stop for a scalp and the natural exit when it flips, so you never have to decide where to get out under pressure.
When not to trade: ADX
Below 18 there is no trend, and scalping a range with options is paying theta to be whipsawed. Sit out.
The option leg
Buy the ATM or first OTM option in the direction of the signal; delta near 0.5 keeps the position responsive without paying for too much gamma. Target 1.5 times the risk; scalps that need more than that were not scalps.
Automated
The VIP Indicator SCALPER engine scores VWAP, EMA, Supertrend and RSI momentum every closed candle, damps the score when ADX is low, and prints LONG, SHORT and EXIT with the Supertrend stop and the 1.5R target on the chart, on the web and as a Pine Script with alerts.