Expiry brief · Monday, 28 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.
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,945.45, -0.84% on the day. The 22950 straddle for the 29 Sep expiry costs ₹176.40 (99.00 call + 77.40 put), which is the market pricing a one-standard-deviation move of about ±176 points, ±0.77%, over the 1.3 days to expiry. Read that as the expected range: 22,769 to 23,122. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.31 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 (-2.3 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 ₹3,065 a lot with a maximum loss of ₹3,435 and breakevens at 22,803 / 23,097. The short strangle underneath it collects ₹6,217 — ₹3,152 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 ₹11,466 a lot and needs NIFTY beyond 22,774 or 23,126 at expiry to pay. It bleeds about ₹4,561 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 23,100 — the strike writers are defending as resistance; the largest put open interest below sits at 22,500, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22850 PE @ 41.85 · +1 22750 PE @ 21.55 · −1 23050 CE @ 53.80 · +1 23150 CE @ 26.95 | credit ₹3,065 | ₹3,065 | ₹3,435 | 22,803 / 23,097 |
| Short strangle −1 23050 CE @ 53.80 · −1 22850 PE @ 41.85 | credit ₹6,217 | ₹6,217 | unlimited | 22,754 / 23,146 |
| Long straddle +1 22950 CE @ 99.00 · +1 22950 PE @ 77.40 | debit ₹11,466 | unlimited | ₹11,466 | 22,774 / 23,126 |
| Bull call spread +1 22950 CE @ 99.00 · −1 23050 CE @ 53.80 | debit ₹2,938 | ₹3,562 | ₹2,938 | 22,995 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,780.25, -1.56% on the day. The 22800 straddle for the 29 Sep expiry costs ₹156.10 (86.50 call + 69.60 put), which is the market pricing a one-standard-deviation move of about ±156 points, ±0.69%, over the 1.0 days to expiry. Read that as the expected range: 22,624 to 22,936. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.58 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 (-4.1 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 ₹2,600 a lot with a maximum loss of ₹3,900 and breakevens at 22,660 / 22,940. The short strangle underneath it collects ₹5,232 — ₹2,632 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 ₹10,146 a lot and needs NIFTY beyond 22,644 or 22,956 at expiry to pay. It bleeds about ₹5,038 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 23,000 — the strike writers are defending as resistance; the largest put open interest below sits at 22,500, the floor.
Elsewhere: BANKNIFTY 54,472 with a straddle of ₹471 (±0.86%, expiry 29 Sep); SENSEX 72,772 with a straddle of ₹856 (±1.18%, 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 22700 PE @ 36.35 · +1 22600 PE @ 18.75 · −1 22900 CE @ 44.15 · +1 23000 CE @ 21.75 | credit ₹2,600 | ₹2,600 | ₹3,900 | 22,660 / 22,940 |
| Short strangle −1 22900 CE @ 44.15 · −1 22700 PE @ 36.35 | credit ₹5,232 | ₹5,232 | unlimited | 22,620 / 22,980 |
| Long straddle +1 22800 CE @ 86.50 · +1 22800 PE @ 69.60 | debit ₹10,146 | unlimited | ₹10,146 | 22,644 / 22,956 |
| Bull call spread +1 22800 CE @ 86.50 · −1 22900 CE @ 44.15 | debit ₹2,753 | ₹3,747 | ₹2,753 | 22,842 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,780.25, -165 points (-0.72%) from the 22,945.45 it opened this brief at. The open straddle priced ±176; the day stayed inside that range. The 22950 straddle itself went from ₹176.40 to ₹156.10 — time decay winning over movement.
ATM implied volatility moved from 16.4% to 16.4%; India VIX from 13.31 to 13.58.
A short strangle put on at the open had breakevens of 22,754 and 23,146; 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.