Expiry brief · Thursday, 24 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 | ||
|---|---|---|---|---|
| 07:00 | 🇦🇺 | high | Employment Change | 21.5K |
| 07:00 | 🇦🇺 | high | Unemployment Rate | 4.5% |
| 13:00 | 🇨🇭 | high | SNB Monetary Policy Assessment | |
| 13:00 | 🇨🇭 | high | SNB Policy Rate | 0.00% |
| 13:30 | 🇨🇭 | high | SNB Press Conference | |
| 18:00 | 🇺🇸 | medium | Unemployment Claims | 201K |
| 19:45 | 🇺🇸 | medium | President Trump Speaks |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,226.20, -0.94% on the day. The 23250 straddle for the 29 Sep expiry costs ₹227.20 (115.85 call + 111.35 put), which is the market pricing a one-standard-deviation move of about ±227 points, ±0.98%, over the 5.3 days to expiry. Read that as the expected range: 22,999 to 23,453. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.20 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 (+0.0 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 ₹3,770 a lot with a maximum loss of ₹2,730 and breakevens at 23,092 / 23,408. The short strangle underneath it collects ₹9,207 — ₹5,437 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 ₹14,768 a lot and needs NIFTY beyond 23,023 or 23,477 at expiry to pay. It bleeds about ₹1,401 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.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23150 PE @ 71.55 · +1 23050 PE @ 44.60 · −1 23350 CE @ 70.10 · +1 23450 CE @ 39.05 | credit ₹3,770 | ₹3,770 | ₹2,730 | 23,092 / 23,408 |
| Short strangle −1 23350 CE @ 70.10 · −1 23150 PE @ 71.55 | credit ₹9,207 | ₹9,207 | unlimited | 23,008 / 23,492 |
| Long straddle +1 23250 CE @ 115.85 · +1 23250 PE @ 111.35 | debit ₹14,768 | unlimited | ₹14,768 | 23,023 / 23,477 |
| Bull call spread +1 23250 CE @ 115.85 · −1 23350 CE @ 70.10 | debit ₹2,974 | ₹3,526 | ₹2,974 | 23,296 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 23,063.10, -1.64% on the day. The 23050 straddle for the 29 Sep expiry costs ₹260.45 (155.50 call + 104.95 put), which is the market pricing a one-standard-deviation move of about ±260 points, ±1.13%, over the 5.0 days to expiry. Read that as the expected range: 22,803 to 23,324. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.76 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 inverted (-0.8 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 ₹4,137 a lot with a maximum loss of ₹2,363 and breakevens at 22,886 / 23,214. The short strangle underneath it collects ₹11,235 — ₹7,098 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 ₹16,929 a lot and needs NIFTY beyond 22,790 or 23,310 at expiry to pay. It bleeds about ₹1,697 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 55,438 with a straddle of ₹781 (±1.41%, expiry 29 Sep); SENSEX 73,581 with a straddle of ₹1,095 (±1.49%, expiry 01 Oct).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22950 PE @ 69.45 · +1 22850 PE @ 45.40 · −1 23150 CE @ 103.40 · +1 23250 CE @ 63.80 | credit ₹4,137 | ₹4,137 | ₹2,363 | 22,886 / 23,214 |
| Short strangle −1 23150 CE @ 103.40 · −1 22950 PE @ 69.45 | credit ₹11,235 | ₹11,235 | unlimited | 22,777 / 23,323 |
| Long straddle +1 23050 CE @ 155.50 · +1 23050 PE @ 104.95 | debit ₹16,929 | unlimited | ₹16,929 | 22,790 / 23,310 |
| Bull call spread +1 23050 CE @ 155.50 · −1 23150 CE @ 103.40 | debit ₹3,386 | ₹3,114 | ₹3,386 | 23,102 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,063.10, -163 points (-0.70%) from the 23,226.20 it opened this brief at. The open straddle priced ±227; the day stayed inside that range. The 23250 straddle itself went from ₹227.20 to ₹260.45 — movement or volatility outrunning time decay.
ATM implied volatility moved from 10.2% to 12.0%; India VIX from 11.20 to 12.76.
A short strangle put on at the open had breakevens of 23,008 and 23,492; 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.