---
title: "Capstone Research Note Brief and Rubric for F&O"
description: "The brief and published rubric for a short research note on an Indian derivatives question: structure, data rules, marks by criterion and a marking example."
source_url: "https://www.rupeecase.com/learn/path-19/module-19-16-capstone-research-note"
---

[Path 19 16 of 16](/learn/path-19/)Capstone: a research note on an Indian derivatives question[Path 19](/learn/path-19/)

This is the last module of the Expert level, and it has no new market facts in it. It asks you to write one research note on an Indian derivatives question, and it publishes the rubric the note is marked against, so you can mark your own before anyone else sees it. A note is short, about 1,200 words, and built around one question, one dated dataset, one method and one honest list of limits. It is an exercise in method. It is not a research report, it carries no view on where any index is going, and nobody should act on it. What the school marks is the thinking: whether the question can be answered with the data, whether the data is dated and old enough, and whether the limits are as loud as the result.

3By the end you can

1. Choose a derivatives question that dated end of day data can answer.
2. Structure a short note in seven parts within the word budget.
3. Mark a note against the published rubric, section by section.

## The idea, plainly

### What is the note for?

The Expert modules each teach a method: a model of the quote, a schedule for an order, a deflated Sharpe, a reading of a regulator's order. The note makes you use one of them on a question of your own choosing, the way a desk would. The test of a method is not whether you can state it. It is whether you can say what it would take to be wrong, and then look. A good note makes the reader's work easy: the question is in the first line, the answer is in the second, and the rest is the evidence for the answer and the reasons it might fail.

### How do I choose a question?

Pick one that data can answer and that has two sides worth testing. A question that asks for a forecast is out: "where will Nifty close" has no answer in the files. A question that asks what happened, or how a number behaves, is in: "how far did the expiry day close sit from the highest open interest strike on the expiry days in the files" can be counted. Good starting points are the live question pages, such as [does max pain work](/learn/questions/does-max-pain-work), [does Nifty pin to open interest strikes](/learn/questions/does-nifty-pin-to-oi-strikes), [is Nifty GEX reliable](/learn/questions/is-nifty-gex-reliable), [historical, implied and realised volatility](/learn/questions/historical-implied-realised-volatility) and [futures rollover cost](/learn/questions/futures-rollover-cost). Take one, narrow it, and decide what a "no" would look like before you open the data.

### What goes in the note?

Seven parts, in this order, with a budget for each. Going over the cap is a mark against clarity, not a sign of effort.

Two terms to hold on to from 19.16

From the module glossary. Source: Module 19.16, Capstone: a research note on an Indian derivatives question.

1. **Question and answer**, about 150 words. The question in one sentence, the answer in one sentence, and the date range it holds for.

2. **Data**, about 200 words. Where each file comes from, the dates it covers, its age, and every cleaning step. Market data in a note must be at least 30 days old on the day of writing, as in the rest of the school, and must come from end of day files, never a live screen.

3. **Method**, about 250 words. The model or test, why it fits the question, and the parameters chosen before the run.

4. **Result**, about 250 words and at least one chart, with the source and date under it.

5. **Costs and rules**, in the result or the method: charges, lot sizes, expiry days and settlement rules that applied in the period, named by regime and date.

6. **Limits**, about 200 words. Biases, the number of variants tried, what the sample cannot show.

7. **What would change my mind**, about 100 words. The result that would overturn the answer.

Write the test before you open the data

The order of work for the capstone note. A method diagram with no market figures. Running once and counting the variants is what keeps the result honest, as the lesson on backtest overfitting explains. Source: RupeeCase capstone brief. As of 17 Oct 2026.

### How is the note marked?

There are eight criteria and 100 marks. For each criterion, a strong note earns the full weight, an adequate one two thirds, a weak one a third and an absent one nothing. The pass mark proposed here is 70. The list sets out what the strong and the weak ends look like.

* **Question**, 10 marks. Strong: One answerable question, narrow, with a stated test for a no. Weak: Broad, a forecast or several questions at once.

* **Data and dates**, 15 marks. Strong: Every file named, dated, at least 30 days old, cleaning steps listed. Weak: Source vague, dates missing or a screen used.

* **Method fit**, 15 marks. Strong: Method suits the question, parameters fixed before the run. Weak: Method borrowed without a reason, parameters tuned after.

* **Evidence and charts**, 15 marks. Strong: Result follows from the data, charts carry source and date. Weak: Claims beyond the data, charts without credit.

* **Costs and rules**, 10 marks. Strong: Charges, lots and settlement regime named by date. Weak: Costs ignored or rules from the wrong period.

* **Limits and biases**, 15 marks. Strong: Variants counted, biases named, sample limits stated plainly. Weak: Limits missing or buried.

* **Wording and compliance**, 10 marks. Strong: Education only, no calls, levels or targets, allegations kept apart from findings. Weak: Advice or promise wording, a claim stated as fact without a source.

* **Clarity**, 10 marks. Strong: Within the word budget, answer first, plain words. Weak: Over budget, answer hard to find.

Six in ten marks go to data, method, evidence and limits

The published rubric weights. Four criteria carry 15 marks and four carry 10. The pass mark proposed is 70, the same as the module quizzes. Source: RupeeCase capstone rubric. As of 17 Oct 2026.
A strong note on a modest question scores higher than a weak note on a grand one. The marks reward being right about what you know, and being clear about what you do not.

### How should a chart in the note look?

Under every chart, the source, the date range and the last date. Chart title that states the takeaway. Axes labelled in the unit. No chart without a number a reader could check. The specimen below is a standard, not a finding: it shows a series of Nifty volatility with its credit line, and says nothing about what the volatility will do.

A specimen: the title says what to read, the credit says where from

Specimen only, to show the standard for a chart in the note. It is not a finding and it is not a forecast. Source: NSE end of day data, computed by RupeeCase. As of 15 Sep 2026.

### Which files can a first note start from?

Three inputs from the files in this course, each drawn exactly as a note would draw it. They are starting points for a question, not findings, and nothing is claimed about what they show.

An input: open interest by strike on an expiry eve

Call and put open interest at every hundred point strike near the index, for the 30 Jun 2026 expiry on 29 Jun 2026, in units, with the day before marked. A starting input for a question on pinning, not a finding. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026.
An input: the annualised basis of the near Nifty future

Percent a year, from 1 Jul 2025 to 15 Sep 2026. Close to an expiry only a few days are left, so a small gap in points becomes a large annualised figure: the spikes are that arithmetic. A starting input for a question on basis and carry, not a finding and not a forecast. Source: NSE end of day data, computed by RupeeCase. As of 15 Sep 2026.

### What does a strong Limits section contain?

Five things, each in a sentence or two. The sample: how many observations, over what dates, and what regime of lot sizes, charges and expiry days they sit in. The variants: how many versions of the test were run, including the dropped ones. The definition choices: which ones were made before the run and which after. The thing the data cannot show: a different regime, a crash that did not happen, a rule that changed after the sample ended. And the nearest alternative explanation, written as fairly as you can. A reader who finds the weakness before you named it will trust the rest of the note less. A reader who finds that you named it first will trust it more.

### How do I test a claim before I write it?

Take each sentence of the Result and ask which cell of which file it comes from. If you cannot point to one, the sentence is an opinion and belongs in a different place or nowhere. Then take each number and ask whether it is a count, a rate or a rupee figure, and whether its unit is written beside it. Open interest is in units and volume is in contracts, and mixing the two is the commonest slip. Last, read the note as the person who disagrees with it, and write down the one dataset they would ask for. If you already have it, say what it shows.

## Worked example: marking one section

Take the Method section of an imaginary note on whether the expiry day close sits near the highest open interest strike. No result is claimed and no market number is used. The point is the marking.

Watch in the terminal: where are the tabs, markets and glossary? A short tutorial on sample data.
**Version A** says: "I tried a few ways of finding the strike until one looked right." The rubric gives it a weak mark on method fit and a weak mark on limits. Parameters were tuned after the run, and the variants were not counted.

Maths: scoring a note
Marks = sum of weight × level

Level is 1 for strong, two thirds for adequate, one third for weak and zero for absent. A note with every criterion adequate scores two thirds of 100, which is about 67, just under the proposed pass mark of 70. A single criterion lifted from adequate to strong is enough to reach the pass mark: a ten mark criterion adds 3.3 and a fifteen mark one adds 5.0. A note that is strong on data, method and limits and absent on the other five scores 45 and falls short, which is the intended reading: the marks are spread so that no single skill carries a note.

Read 3 more paragraphs, 170 words
**Version B** says: "I define the strike as the one with the highest total open interest in units at the previous close, for each monthly expiry in the files. I measure the distance in points between the expiry close and that strike. I decided both choices before looking at any expiry." That earns an adequate mark: the method fits and the parameters are fixed. It lacks the next line.

**Version C** adds: "I count one variant. I did not test other definitions of the strike. With only a few expiries in the files the sample is small, and I treat the result as a description." That is strong. It counts the variants, states the sample limit and refuses to claim more than it has.

Notice that version C is not longer because it knows more. It is longer by two sentences that cost nothing and that most notes leave out. If you cut anything from your own note to meet the word cap, cut the narration and keep the limits.

### What should I leave out?

Leave out predictions, levels and anything a reader could treat as a call. A note that ends with a view on the coming session loses marks on wording whatever else it does well. Leave out brand names of brokers and vendors, and put books and papers in the sources and not the body. Leave out screenshots of live screens, and anything that identifies a person who has not agreed to it. And leave out claims about a regulator's case that go beyond what the order says: say "the order alleges" and not "the firm did". When a source is an order, name its date and say whether it is a finding or an allegation.

### What happens to the note?

For now, the rubric is published so that you can mark your own note and swap it with a peer. Whether and how RupeeCase will review notes towards the master certificate is not settled in this lesson. The certificates page will say what is offered, and it will say it plainly. A certificate from RupeeCase is a record of completing free education. It is not a NISM certificate and not a licence to advise or to publish research for others.

The term this section turns on: Rubric

From the module glossary; every term is in the Learn glossary too. Source: Module 19.16, Capstone: a research note on an Indian derivatives question.

### Try it yourself

Write the first two lines of your note now, before any data: the question and the answer you expect. Then write the result that would show you wrong. Pick one dataset from the files and list its start date, end date and age in days. If you cannot write the second line, the question is not ready.

## The common mistake

The belief: A good research note proves its point. A good note says how much its data can show. It is not marked on whether the answer is yes or no, and a clean no is worth as many marks as a clean yes. The failure the rubric looks for is the confident note built on a thin sample, a tuned parameter or an unstated count of what was tried. The second failure is advice dressed as analysis: a levels table, a view on next week, a strategy named as the one to use. Both lose marks, and both are easy to avoid by writing the limits first and the answer last.

## Key takeaways

* A suitable question describes a number's behaviour in dated data.
* Write the test, including what a no looks like, before the data.
* Data must be end of day files at least 30 days old.
* Count the variants and state the limits as loudly as the result.
* Allegations stay apart from findings; no calls, levels or targets.
* Eight criteria share the marks, so no single skill carries a note.

Where this section sits in module 19.16

Sections 1 to 4 of 4; the highlighted one is next. Source: Module 19.16, Capstone: a research note on an Indian derivatives question.

**Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

What does Capstone: a research note on an Indian derivatives question cover?One question, one dated dataset, one method and an honest list of limits. The rubric is public so you can mark your own note first. It works through The idea, plainly, Worked example: marking one section, The common mistake, Key takeaways. It is module 19.16 of Path 19, Algo, HFT and Backtesting, about 12 minutes of reading, free.

  AF&O on RupeeCase

## Hedging only, in development
F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet.

  [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup)

  [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging)

QQuick check

## 10 questions, 7 to pass.
Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 19 certificate.

7 of 10 correct passes module 19.16

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

  Passed

###

  Certificate ID

Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify)
Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research.

19Path test

## 30 questions. 21 correct earns the certificate.

30 questions drawn from the 240 in the banks of the 16 live modules of Path 19, 19.1 to 19.16, a fresh set each attempt, with no timer. Your score stays on this device.

* **30**questions
* **21**to pass (70%)
* **16**modules covered

Start the testOnly the path test decides the path certificate. The module quizzes are optional: pass them too for each module's own certificate and a tick on every stop.

  Passed

###

  Certificate ID

Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify)Retake the test
[All your certificates, and the master certificate](/learn/certificates)

CCheck yourself

## Path 19 so far.
Your quick check results on this device, stop by stop.

Stop 16 of 16 on Path 19

Algo, HFT and Backtesting: every live stop, this module ringed. Source: RupeeCase Learn, Path 19.

1. [19.1What a backtest is, and five biases that ruin itNot yet](/learn/path-19/module-19-1-backtest-biases)
2. [19.2Strategy metrics: CAGR, Sharpe, Sortino, drawdown and expectancyNot yet](/learn/path-19/module-19-2-strategy-metrics)
3. [19.3HFT, MFT and LFT comparedNot yet](/learn/path-19/module-19-3-hft-mft-lft)
4. [19.4Colocation, latency and fairness: NSE's historyNot yet](/learn/path-19/module-19-4-colocation-and-latency)
5. [19.5Building a compliant retail algoNot yet](/learn/path-19/module-19-5-building-a-compliant-algo)
6. [19.6Backtesting options on Indian dataNot yet](/learn/path-19/module-19-6-backtesting-options)
7. [19.7Walk forward and out of sample testingNot yet](/learn/path-19/module-19-7-walk-forward-testing)
8. [19.8Monte Carlo and bootstrap of trade resultsNot yet](/learn/path-19/module-19-8-monte-carlo-and-bootstrap)
9. [19.9Microstructure models: spreads, informed trading and price impactNot yet](/learn/path-19/module-19-9-microstructure-models)
10. [19.10Market making: inventory and quotingNot yet](/learn/path-19/module-19-10-market-making)
11. [19.11Optimal execution and market impactNot yet](/learn/path-19/module-19-11-optimal-execution)
12. [19.12HFT economics and the latency raceNot yet](/learn/path-19/module-19-12-hft-economics)
13. [19.13Backtest overfitting: deflated Sharpe, PBO and multiple testingNot yet](/learn/path-19/module-19-13-backtest-overfitting)
14. [19.14Financial machine learning done carefullyNot yet](/learn/path-19/module-19-14-financial-machine-learning)
15. [19.15Expiry day market integrity: a SEBI interim order, FutEq limits and surveillanceNot yet](/learn/path-19/module-19-15-expiry-day-market-integrity)
16. [19.16Capstone: a research note on an Indian derivatives questionNot yet](/learn/path-19/module-19-16-capstone-research-note#quiz)
17. [TPath test, 30 questionsNot yet](/learn/path-19/module-19-16-capstone-research-note#pathTestSection)

Path 19 in reading time: 172 minutes over 16 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 19.

    Explore next

## Put the module to work.

* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)
* [Free module 19.13Backtest overfitting: deflated Sharpe, PBO and multiple testing11 min read](/learn/path-19/module-19-13-backtest-overfitting)
* [Free module 19.15Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance12 min read](/learn/path-19/module-19-15-expiry-day-market-integrity)
* [Free module 19.1What a backtest is, and five biases that ruin it9 min read](/learn/path-19/module-19-1-backtest-biases)
* [Free module 19.7Walk forward and out of sample testing10 min read](/learn/path-19/module-19-7-walk-forward-testing)
* [Free module 19.8Monte Carlo and bootstrap of trade results10 min read](/learn/path-19/module-19-8-monte-carlo-and-bootstrap)

      Community

## Join my WhatsApp group.

      Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me.

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SSources

## Go to the source.
6 sources, SEBI the most cited

The publisher of each source listed below. Source: Module 19.16 source list.
1. [SEBI, circular of May 2026, norms for sharing and usage of price data for educational purposes](https://www.sebi.gov.in/legal/circulars/may-2026/norms-for-sharing-and-usage-of-price-data-for-educational-purposes_101293.html) SEBI
2. [SEBI, circular clarifying association with persons engaged in prohibited activities (finfluencer rules)](https://www.sebi.gov.in/legal/circulars/jan-2025/details-clarifications-on-provisions-related-to-association-of-persons-regulated-by-the-board-miis-and-their-agents-with-persons-engaged-in-prohibited-activities_91356.html) SEBI
3. [NSE, derivatives reports and daily end of day files](https://www.nseindia.com/all-reports-derivatives) NSE
4. [NSE, equity derivatives contract specifications](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
5. [SEBI, circular of 4 February 2025, safer participation of retail investors in algorithmic trading](https://www.sebi.gov.in/legal/circulars/feb-2025/safer-participation-of-retail-investors-in-algorithmic-trading_91614.html) SEBI
6. Booth, W., Colomb, G. and Williams, J., The Craft of Research, University of Chicago Press (structuring a question, a claim and its limits) Book

GTerms

## 4 terms from this module.
Research noteA short, structured write-up of one question, its data, its method, its result and its limits. Here it is a method exercise and not a research report.
HoldoutA stretch of data kept aside, looked at once after the rule and the choices are fixed.
Variant countThe number of versions of a test tried on the same data, including those dropped. It sets how much the best result should be discounted.
RubricThe published list of criteria, marks and descriptions of strong and weak work that a note is marked against.
[All 230 terms in the glossary](/learn/glossary)

[Related module19.13 Backtest overfitting: deflated Sharpe, PBO and multiple testing11 min, Expert](/learn/path-19/module-19-13-backtest-overfitting)[Related module19.15 Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance12 min, Expert](/learn/path-19/module-19-15-expiry-day-market-integrity)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives)

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.