Expiry brief · Friday, 25 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 | ||
|---|---|---|---|---|
| 04:31 | 🇨🇳 | holiday | Bank Holiday | |
| 05:25 | 🇺🇸 | medium | President Trump Speaks | |
| 14:45 | 🇬🇧 | high | BOE Gov Bailey Speaks | |
| 19:30 | 🇺🇸 | medium | Revised UoM Consumer Sentiment | 47.4 |
| 19:30 | 🇺🇸 | medium | Revised UoM Inflation Expectations |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,067.35, +0.02% on the day. The 23050 straddle for the 29 Sep expiry costs ₹237.90 (155.75 call + 82.15 put), which is the market pricing a one-standard-deviation move of about ±238 points, ±1.03%, over the 4.3 days to expiry. Read that as the expected range: 22,829 to 23,305. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.40 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 (-2.2 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 ₹3,906 a lot with a maximum loss of ₹2,594 and breakevens at 22,890 / 23,210. The short strangle underneath it collects ₹9,825 — ₹5,919 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 ₹15,464 a lot and needs NIFTY beyond 22,812 or 23,288 at expiry to pay. It bleeds about ₹1,815 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 22950 PE @ 52.10 · +1 22850 PE @ 32.75 · −1 23150 CE @ 99.05 · +1 23250 CE @ 58.30 | credit ₹3,906 | ₹3,906 | ₹2,594 | 22,890 / 23,210 |
| Short strangle −1 23150 CE @ 99.05 · −1 22950 PE @ 52.10 | credit ₹9,825 | ₹9,825 | unlimited | 22,799 / 23,301 |
| Long straddle +1 23050 CE @ 155.75 · +1 23050 PE @ 82.15 | debit ₹15,464 | unlimited | ₹15,464 | 22,812 / 23,288 |
| Bull call spread +1 23050 CE @ 155.75 · −1 23150 CE @ 99.05 | debit ₹3,686 | ₹2,814 | ₹3,686 | 23,107 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 23,140.50, +0.34% on the day. The 23150 straddle for the 29 Sep expiry costs ₹192.40 (114.15 call + 78.25 put), which is the market pricing a one-standard-deviation move of about ±192 points, ±0.83%, over the 4.0 days to expiry. Read that as the expected range: 22,948 to 23,333. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.15 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 (-1.7 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 ₹3,279 a lot with a maximum loss of ₹3,221 and breakevens at 23,000 / 23,300. The short strangle underneath it collects ₹7,150 — ₹3,871 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 ₹12,506 a lot and needs NIFTY beyond 22,958 or 23,342 at expiry to pay. It bleeds about ₹1,568 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 55,580 with a straddle of ₹559 (±1.01%, expiry 29 Sep); SENSEX 73,896 with a straddle of ₹889 (±1.20%, 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 23050 PE @ 45.05 · +1 22950 PE @ 25.65 · −1 23250 CE @ 64.95 · +1 23350 CE @ 33.90 | credit ₹3,279 | ₹3,279 | ₹3,221 | 23,000 / 23,300 |
| Short strangle −1 23250 CE @ 64.95 · −1 23050 PE @ 45.05 | credit ₹7,150 | ₹7,150 | unlimited | 22,940 / 23,360 |
| Long straddle +1 23150 CE @ 114.15 · +1 23150 PE @ 78.25 | debit ₹12,506 | unlimited | ₹12,506 | 22,958 / 23,342 |
| Bull call spread +1 23150 CE @ 114.15 · −1 23250 CE @ 64.95 | debit ₹3,198 | ₹3,302 | ₹3,198 | 23,199 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,140.50, +73 points (+0.32%) from the 23,067.35 it opened this brief at. The open straddle priced ±238; the day stayed inside that range. The 23050 straddle itself went from ₹237.90 to ₹192.40 — time decay winning over movement.
ATM implied volatility moved from 11.9% to 10.0%; India VIX from 12.40 to 12.15.
A short strangle put on at the open had breakevens of 22,799 and 23,301; 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.