Expiry brief · Tuesday, 29 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 | ||
|---|---|---|---|---|
| 10:00 | 🇦🇺 | high | Cash Rate | 4.60% |
| 10:00 | 🇦🇺 | high | RBA Rate Statement | |
| 19:30 | 🇺🇸 | medium | CB Consumer Confidence | 89.2 |
| 19:30 | 🇺🇸 | medium | JOLTS Job Openings | 7.23M |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,680.90, -0.44% on the day. The 22700 straddle for the 29 Sep expiry costs ₹127.05 (61.40 call + 65.65 put), which is the market pricing a one-standard-deviation move of about ±127 points, ±0.56%, over the 0.3 days to expiry. Read that as the expected range: 22,554 to 22,808. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.85 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 (-3.9 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 ₹2,077 a lot with a maximum loss of ₹4,423 and breakevens at 22,568 / 22,832. The short strangle underneath it collects ₹3,533 — ₹1,456 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 ₹8,258 a lot and needs NIFTY beyond 22,573 or 22,827 at expiry to pay. It bleeds about ₹15,844 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 54,182 with a straddle of ₹394 (±0.73%, expiry 29 Sep); SENSEX 72,386 with a straddle of ₹792 (±1.09%, 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 22600 PE @ 28.10 · +1 22500 PE @ 11.35 · −1 22800 CE @ 26.25 · +1 22900 CE @ 11.05 | credit ₹2,077 | ₹2,077 | ₹4,423 | 22,568 / 22,832 |
| Short strangle −1 22800 CE @ 26.25 · −1 22600 PE @ 28.10 | credit ₹3,533 | ₹3,533 | unlimited | 22,546 / 22,854 |
| Long straddle +1 22700 CE @ 61.40 · +1 22700 PE @ 65.65 | debit ₹8,258 | unlimited | ₹8,258 | 22,573 / 22,827 |
| Bull call spread +1 22700 CE @ 61.40 · −1 22800 CE @ 26.25 | debit ₹2,285 | ₹4,215 | ₹2,285 | 22,735 |
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 22,716.20, -0.28% on the day. The 22700 straddle for the 06 Oct expiry costs ₹329.75 (221.90 call + 107.85 put), which is the market pricing a one-standard-deviation move of about ±330 points, ±1.45%, over the 7.0 days to expiry. Read that as the expected range: 22,386 to 23,046. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.33 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 (-4.0 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 ₹4,579 a lot with a maximum loss of ₹1,921 and breakevens at 22,530 / 22,870. The short strangle underneath it collects ₹15,571 — ₹10,992 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 ₹21,434 a lot and needs NIFTY beyond 22,370 or 23,030 at expiry to pay. It bleeds about ₹1,535 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 22,600, the floor.
Elsewhere: BANKNIFTY 54,260 with a straddle of ₹1,911 (±3.52%, expiry 27 Oct); SENSEX 72,529 with a straddle of ₹744 (±1.03%, 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 22600 PE @ 77.30 · +1 22500 PE @ 56.10 · −1 22800 CE @ 162.25 · +1 22900 CE @ 113.00 | credit ₹4,579 | ₹4,579 | ₹1,921 | 22,530 / 22,870 |
| Short strangle −1 22800 CE @ 162.25 · −1 22600 PE @ 77.30 | credit ₹15,571 | ₹15,571 | unlimited | 22,360 / 23,040 |
| Long straddle +1 22700 CE @ 221.90 · +1 22700 PE @ 107.85 | debit ₹21,434 | unlimited | ₹21,434 | 22,370 / 23,030 |
| Bull call spread +1 22700 CE @ 221.90 · −1 22800 CE @ 162.25 | debit ₹3,877 | ₹2,623 | ₹3,877 | 22,760 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,716.20, +35 points (+0.16%) from the 22,680.90 it opened this brief at. The open straddle priced ±127; the day stayed inside that range. The 22700 straddle itself went from ₹127.05 to ₹329.75 — movement or volatility outrunning time decay.
ATM implied volatility moved from 26.3% to 13.1%; India VIX from 13.85 to 13.33.
A short strangle put on at the open had breakevens of 22,546 and 22,854; 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.