How to use Sensibull's options strategy builder
Sensibull’s strategy builder is a visual tool for constructing, analysing, and placing multi-leg options strategies on NSE index and stock options. The builder assembles the full payoff profile of a strategy, computes the combined Greeks (Delta, Theta, Gamma, Vega), displays margin requirements, and routes the strategy’s orders to Zerodha via Kite Connect. This guide covers the end-to-end workflow from selecting an underlying to placing a completed strategy.
Conflict-of-interest disclosure. This guide is published by WebNotes Editorial Team for informational purposes. WebNotes has no commercial relationship with Sensibull Technologies Private Limited or Zerodha. No affiliate commission is earned from strategy placements or Sensibull subscriptions.
Options-trading risk and regulatory disclosure. Options trading involves substantial financial risk. Selling (writing) options carries theoretically unlimited risk for uncovered call positions and significant downside risk for put positions. Buying options involves the risk of losing the entire premium paid if the option expires worthless. Options are complex instruments subject to time decay (Theta), and volatility changes (Vega) affect their value independently of the underlying price movement. The Zerodha F&O segment requires SEBI-mandated F&O segment activation and involves margin requirements that can change during the life of a position. Sensibull Technologies is a technology and analytics company and is not a SEBI-registered investment adviser; Sensibull’s platform does not provide personalised investment advice. Consult a SEBI-registered investment adviser before initiating options strategies.
Prerequisites
Before following this guide, confirm that:
- Your Zerodha account has an active F&O segment (Futures and Options). F&O segment activation requires submission of income proof and is subject to SEBI’s investor eligibility criteria.
- Your F&O account has sufficient available margin for the strategy you intend to place. Multi-leg strategies with short (sold) options legs require SPAN margin plus exposure margin as computed by NSE’s SPAN algorithm.
- You have a Sensibull account at sensibull.com. A limited free tier is available; paid plans (Sensibull Pro and higher) provide additional features such as IV analysis, strategy analytics, and position management tools.
- You have a basic understanding of options concepts: call and put options, strike price, expiry, premium, intrinsic value, time value, and the four Greeks (Delta, Theta, Gamma, Vega). Sensibull’s own educational resources and Zerodha Varsity’s options modules provide this background.
Step-by-step procedure
Step 1: Open the Sensibull strategy builder
Via Kite. Log in to Kite and click Option Chain in the left navigation or the options icon next to an instrument in the watchlist. Kite opens the Sensibull interface within an embedded frame. The option chain for the selected instrument loads automatically.
Via sensibull.com. Navigate to sensibull.com directly. Log in with your Sensibull account credentials or via Zerodha OAuth. In the navigation, click Strategy builder or Strategies to open the strategy construction interface.
Step 2: Select the underlying instrument
The strategy builder requires selecting an underlying instrument. For index options:
- NIFTY 50: India’s benchmark large-cap index; options are European-style (cash-settled at expiry; no early exercise). Weekly and monthly expiry series available.
- BANKNIFTY: Banking sector index; higher beta and wider daily range than NIFTY. Weekly and monthly expiry.
- FINNIFTY: Financial services index; weekly expiry.
- MIDCPNIFTY: Midcap 150 index; weekly expiry.
For stock options, type the stock symbol in the underlying search field. Stock options are American-style (can be exercised before expiry; physical settlement since November 2019 per SEBI mandate for stock F&O). Note that physically-settled stock options carry the risk of early assignment for short positions.
Step 3: Select the expiry
After selecting the underlying, the strategy builder displays available expiry series. Choose:
- Current weekly expiry: Expires on the next Thursday (for NIFTY, BANKNIFTY, FINNIFTY). Highest time decay (Theta); option premiums are lowest for the nearest weekly.
- Next weekly expiry: One week further out. Slightly higher premiums; more time before expiry.
- Monthly expiry: Last Thursday of the month. Higher premiums; used for strategies requiring more time (calendar spreads, longer-dated directional plays).
For calendar spreads (strategies using two expiry dates), select the near expiry for one leg and the far expiry for the other in the multi-leg entry.
The current market price of the underlying (spot price), along with the at-the-money (ATM) strike and the implied volatility index (India VIX or the instrument’s own IV) are displayed at the top of the strategy builder.
Step 4: Add legs to the strategy
Each leg of the strategy is defined by four parameters:
| Parameter | Options |
|---|---|
| Direction | Buy (Long) or Sell (Short) |
| Option type | Call or Put |
| Strike price | Selected from the dropdown list of available strikes |
| Quantity | Number of lots (each NIFTY lot = 25 contracts; BANKNIFTY lot = 15 contracts as per NSE specifications) |
Click Add leg or the + button to add each component. As you add legs, the payoff diagram updates in real time.
Common strategy templates. Sensibull provides pre-built templates for common strategies:
| Strategy | Legs |
|---|---|
| Bull call spread | Buy lower strike call + Sell higher strike call (same expiry) |
| Bear put spread | Buy higher strike put + Sell lower strike put (same expiry) |
| Long straddle | Buy ATM call + Buy ATM put (same strike, same expiry) |
| Short straddle | Sell ATM call + Sell ATM put (same strike, same expiry) |
| Long strangle | Buy OTM call + Buy OTM put (different strikes, same expiry) |
| Short strangle | Sell OTM call + Sell OTM put (different strikes, same expiry) |
| Iron condor | Sell OTM put + Buy further OTM put + Sell OTM call + Buy further OTM call |
| Butterfly | Buy lower strike call + Sell 2x ATM calls + Buy higher strike call |
Select a template to auto-populate the legs; then customise strike prices and quantities.
Step 5: Review the payoff diagram and Greeks
The payoff diagram displays:
- Y-axis: P&L in rupees (per lot, or for the configured quantity)
- X-axis: Underlying price at expiry
- Payoff line: The strategy’s profit or loss at each underlying price at expiry
- Current price marker: A vertical line at the current spot price
- Breakeven points: Where the payoff line crosses zero P&L
- Maximum profit zone: The price range producing the highest P&L
- Maximum loss zone: The price range producing the worst P&L
Below the diagram, Sensibull displays the combined Greeks:
| Greek | Interpretation |
|---|---|
| Delta | Approximate change in strategy value for a Rs 1 change in the underlying |
| Theta | Daily time decay; negative Theta means the strategy loses value with passage of time (typical for net long options positions); positive Theta means the strategy gains from time decay (typical for net short options positions) |
| Gamma | Rate of change of Delta; high Gamma positions require more active management near expiry |
| Vega | Sensitivity to implied volatility changes; positive Vega benefits from rising IV; negative Vega benefits from falling IV |
Using the payoff at different times. Sensibull’s payoff diagram includes a slider or date selector to show the expected P&L at the current date (accounting for remaining time value) vs. the P&L at expiry (intrinsic value only). The two lines diverge in the money and converge toward expiry. Reviewing the current-date P&L profile is important for positions that may be closed before expiry.
Adjusting IV assumption. Sensibull allows adjusting the implied volatility assumption used in the payoff calculation. Changing the IV input by ±10% shows how much the strategy’s current value changes with volatility moves, which is the practical Vega impact.
Step 6: Check the margin requirement
Before placing, Sensibull computes the estimated SPAN margin plus exposure margin for the combined strategy based on NSE’s SPAN algorithm. The margin is displayed as:
- SPAN margin: Minimum margin required by the exchange for the short options legs
- Exposure margin: Additional margin buffer required by NSE above SPAN
- Total required margin: SPAN + Exposure for the complete strategy
Compare the required margin with your available margin in the Kite funds section. If required margin exceeds available margin, either reduce the quantity (fewer lots), modify the strategy (add a long leg to convert an unlimited-risk position to a spread), or add funds to your account.
Margin requirements can change during the life of the position as the underlying price moves and as implied volatility changes. Monitor margin usage actively after placing options strategies.
Step 7: Place the strategy via Kite
Click Place order, Trade, or Execute strategy. Sensibull pre-fills the order details for each leg in Kite’s order placement interface:
- Instrument (option contract name, expiry, strike, Call/Put)
- Transaction type (Buy or Sell)
- Quantity (lots)
- Product type (NRML for overnight; MIS for intraday)
- Order type (Limit at last traded price, or Market)
Review each leg before confirming. Multi-leg strategies are placed as individual orders, not as a single basket order. The legs do not execute simultaneously; there is a brief sequential execution window during which the underlying price may move between the first and last leg’s execution. For net-credit strategies (where you receive premium), this sequential execution is generally favourable; for net-debit strategies (where you pay premium), rapid adverse moves between legs can increase the net cost.
Confirm each order. Monitor the order book in Kite to verify all legs are filled.
Managing the position after placement
After all legs are placed, the combined position appears in the Positions section of Kite. Sensibull’s position management view (available at sensibull.com under Portfolio or Positions) aggregates all open options positions and shows the combined portfolio Greeks, current P&L, and the payoff of the full options book.
Use Sensibull’s position view to monitor whether the strategy’s Greeks remain within your intended parameters as the underlying price and implied volatility change. Adjust (roll, close, or modify legs) as needed.
What can go wrong
Legs do not all fill. If the market moves rapidly while legs are being placed sequentially, some legs may fill at different prices from the displayed premium, widening the net debit or reducing the net credit. Consider using limit orders for each leg at or near the last traded price rather than market orders.
Margin requirement increases intraday. NSE recalculates SPAN margins intraday. A large move in the underlying can increase SPAN margin requirements significantly. If available margin falls below the revised requirement, Zerodha may issue a margin shortfall notice and may square off positions. Monitor the Kite funds section for margin utilisation during the trading day.
Expiry-day assignment risk (stock options). For short stock options, the risk of early assignment (for American-style options) and physical settlement obligations at expiry require monitoring. Do not hold short stock options positions into expiry without understanding the delivery obligation.
Sensibull session expires during order flow. If the Kite Connect session expires mid-flow, log in again and retry the order placement. Verify in the Kite order book whether any legs were placed before the session expired to avoid duplicate orders.
Related guides
- Sensibull platform overview
- Zerodha F&O segment
- How to calculate SPAN margin on Zerodha
- Zerodha options brokerage
- Kite Connect API
- Varsity by Zerodha
References
- Sensibull Technologies. “Strategy builder documentation”. support.sensibull.com. Accessed May 2026.
- Zerodha Support. “Options trading on Kite with Sensibull”. support.zerodha.com. Accessed May 2026.
- NSE India. “SPAN margin computation methodology”. nseindia.com. Accessed May 2026.
- NSE India. “Physical settlement of stock derivatives”. nseindia.com. Accessed May 2026.
- SEBI. “Physical settlement of stock derivatives, circular”. sebi.gov.in. 2019.
- Zerodha Z-Connect Blog. “Sensibull, options analytics for Kite”. z-connect.zerodha.com. Accessed May 2026.
- Zerodha Varsity. “Options Theory for Professional Trading”. zerodha.com/varsity. Accessed May 2026.