Expiry brief · Tuesday, 22 September 2026
What the NIFTY option chain is pricing today, in numbers a trader can act on: the straddle as the expected move, volatility, skew, and four structures priced live. Written by the server at fixed times, every trading day.
Scheduled today
| IST | RELEASE | ACTUAL / FCST | ||
|---|---|---|---|---|
| 04:30 | 🇯🇵 | holiday | Bank Holiday | |
| 08:40 | 🇦🇺 | high | RBA Gov Bullock Speaks | |
| 19:25 | 🇺🇸 | medium | President Trump Speaks |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,443.75, +0.13% on the day. The 23450 straddle for the 22 Sep expiry costs ₹100.55 (46.25 call + 54.30 put), which is the market pricing a one-standard-deviation move of about ±101 points, ±0.43%, over the 0.3 days to expiry. Read that as the expected range: 23,343 to 23,544. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.13 is in its ordinary range: premium is fairly priced, and the edge comes from structure and sizing rather than from volatility being mispriced. Skew is mild (+2.2 IV points): neither side of the chain is paying up, so structures can be built symmetric around spot.
Priced off this chain, an iron condor collects ₹1,508 a lot with a maximum loss of ₹4,992 and breakevens at 23,327 / 23,573. The short strangle underneath it collects ₹2,174 — ₹666 more — for a loss that has no ceiling. That difference is the price of sleeping through a gap; decide whether it is worth paying before the market decides for you.
On the other side, the long straddle costs ₹6,536 a lot and needs NIFTY beyond 23,350 or 23,550 at expiry to pay. It bleeds about ₹12,695 a day in time value right now. Buy it only if you expect the market to move more than it is charging for — and know why.
Open interest across the loaded strikes: the largest call open interest above spot sits at 23,500 — the strike writers are defending as resistance; the largest put open interest below sits at 23,400, the floor.
Elsewhere: BANKNIFTY 56,580 with a straddle of ₹766 (±1.35%, expiry 29 Sep); SENSEX 74,926 with a straddle of ₹601 (±0.80%, expiry 24 Sep).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23350 PE @ 19.80 · +1 23250 PE @ 6.85 · −1 23550 CE @ 13.65 · +1 23650 CE @ 3.40 | credit ₹1,508 | ₹1,508 | ₹4,992 | 23,327 / 23,573 |
| Short strangle −1 23550 CE @ 13.65 · −1 23350 PE @ 19.80 | credit ₹2,174 | ₹2,174 | unlimited | 23,316 / 23,584 |
| Long straddle +1 23450 CE @ 46.25 · +1 23450 PE @ 54.30 | debit ₹6,536 | unlimited | ₹6,536 | 23,350 / 23,550 |
| Bull call spread +1 23450 CE @ 46.25 · −1 23550 CE @ 13.65 | debit ₹2,119 | ₹4,381 | ₹2,119 | 23,483 |
Re-price any of these live in the builder →
BANKNIFTY and SENSEX
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 23,329.00, -0.36% on the day. The 23350 straddle for the 29 Sep expiry costs ₹260.70 (153.95 call + 106.75 put), which is the market pricing a one-standard-deviation move of about ±261 points, ±1.12%, over the 7.0 days to expiry. Read that as the expected range: 23,068 to 23,590. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 10.98 is low by any recent standard: premium is cheap, which favours buyers of options and punishes anyone selling them for 'income' at these levels. Skew is inverted (-1.9 IV points): calls are trading richer than puts, which usually means a chase for upside; call spreads carry the premium today.
Priced off this chain, an iron condor collects ₹4,072 a lot with a maximum loss of ₹2,428 and breakevens at 23,187 / 23,513. The short strangle underneath it collects ₹11,193 — ₹7,121 more — for a loss that has no ceiling. That difference is the price of sleeping through a gap; decide whether it is worth paying before the market decides for you.
On the other side, the long straddle costs ₹16,946 a lot and needs NIFTY beyond 23,089 or 23,611 at expiry to pay. It bleeds about ₹1,214 a day in time value right now. Buy it only if you expect the market to move more than it is charging for — and know why.
Open interest across the loaded strikes: the largest call open interest above spot sits at 23,500 — the strike writers are defending as resistance; the largest put open interest below sits at 23,000, the floor.
Elsewhere: BANKNIFTY 56,216 with a straddle of ₹778 (±1.38%, expiry 29 Sep); SENSEX 74,529 with a straddle of ₹608 (±0.82%, expiry 24 Sep).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23250 PE @ 71.45 · +1 23150 PE @ 47.40 · −1 23450 CE @ 100.75 · +1 23550 CE @ 62.15 | credit ₹4,072 | ₹4,072 | ₹2,428 | 23,187 / 23,513 |
| Short strangle −1 23450 CE @ 100.75 · −1 23250 PE @ 71.45 | credit ₹11,193 | ₹11,193 | unlimited | 23,078 / 23,622 |
| Long straddle +1 23350 CE @ 153.95 · +1 23350 PE @ 106.75 | debit ₹16,946 | unlimited | ₹16,946 | 23,089 / 23,611 |
| Bull call spread +1 23350 CE @ 153.95 · −1 23450 CE @ 100.75 | debit ₹3,458 | ₹3,042 | ₹3,458 | 23,403 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,329.00, -115 points (-0.49%) from the 23,443.75 it opened this brief at. The open straddle priced ±101; the day broke out of that range. The 23450 straddle itself went from ₹100.55 to ₹260.70 — movement or volatility outrunning time decay.
ATM implied volatility moved from 20.2% to 10.1%; India VIX from 11.13 to 10.98.
A short strangle put on at the open had breakevens of 23,316 and 23,584; spot finished between them. One day is not a track record — but this is exactly the comparison to keep a journal of.
BANKNIFTY and SENSEX
Why the straddle is the expected move — Finch, chapter 6 →
The expiry brief is generated by Finostat's server from its live option chains at fixed times and written up from templates; it is education and market description, not a recommendation. Prices are indicative and can be stale. Derivatives can lose more than you put in. Finostat is not a SEBI-registered adviser.